Year: 1986
Type: article
Abstract: Kornya-type higher order approximations are derived for the aggregate claims distribution and for stop loss premiums in the individual model with arbitrary positive claims. Absolute error bounds and error bounds based on concentration functions are given. In the Gerber portfolio containing 31 policies, second order approximations lead to an accuracy of 3 × 10 −4 , and third order approximations to 1.7 ×10 −5 .
Source: Astin Bulletin
Author: Christian Hipp
Institution: University of Cologne
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2005987649