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Multi-Period Aggregate Loss Distributions for a Life Portfolio

Published online by Cambridge University Press:  29 August 2014

David C.M. Dickson  and
Howard R. Waters
David C.M. Dickson*
Affiliation:
April 13, 1999
Howard R. Waters*
Affiliation:
April 13, 1999
*
Centre for Actuarial Studies, Faculty of Economics and Commerce, University of Melbourne, Parkville, Victoria 3052, Australiaemail: D. Dickson@ecomfac.unimelb.edu.au
Department of Actuarial Mathematics and Statistics, Heriot- Watt UniversityEdinburgh, EH14 4 AS, Scotland, email: H. R. Waters@ma.hw.ac.uk
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Abstract

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Algorithms for the calculation of the distribution of the aggregate claims from a life insurance portfolio have been derived by Kornya (1983), Hipp (1986) and De Pril (1986 and 1989). All these authors considered the distribution of the aggregate claims over a single period. In this paper we derive algorithms for the calculation of the joint distribution of the aggregate claims from a life portfolio over several periods.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 29 , Issue 2 , November 1999 , pp. 295 - 309
Copyright
Copyright © International Actuarial Association 1999

References

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