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How to (and how not to) compute stop-loss premiums in practice. (English) Zbl 0800.62681


MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
65C99 Probabilistic methods, stochastic differential equations
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[1] Beard,, R.E.; Pentikäinen, T.; Pesonen, E., ()
[2] Bowers,, N.L.; Gerber, H.U.; Hickman, J.C.; Jones, D.A.; Nesbitt, C.J., Actuarial mathematics, (1986), The Society of Actuaries Itasca, IL · Zbl 0634.62107
[3] Bühlmann,, H., Numerical evaluation of the compound Poisson distribution: recursion or fast Fourier transform?, Scandinavian actuarial journal, 116-126, (1984) · Zbl 0547.62069
[4] Gerber,, H.U.; Jones, D.A., Some practical considerations in connection with the calculation of stop-loss premiums, Transactions of the society of actuaries, XXVIII, 215-231, (1976)
[5] Goovaerts,, M.J.; Kaas, R.; van Heerwaarden, A.E.; Bauwelinckx, T., Effective actuarial methods, (1990), North-Holland Amsterdam
[6] Press,, W.H.; Flannery, B.P.; Teukolsky, S.A.; Vetterling, W.T., Numerical recipes — the art of scientific computing, (1986), Cambridge University Press Cambridge · Zbl 0587.65003
[7] Seal,, H.L., From aggregate claims distribution to the probability of ruin, ASTIN bulletin, X, 47-53, (1978)
[8] Sundt,, B., On stop-loss premiums and negative claim amounts, Mitteilungen der vereinigung schweiz. versicherungsmathematiker, 89-94, (1986), Heft 1, 1986
[9] Sundt,, B.; Jewell, W.S., Further results on the recursive evaluation of compound distributions, ASTIN bulletin, XII, 27-39, (1981)
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