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On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions

  • Bjørn Sundt and Jan Dhaene
Abstract

In the present note we deduce a class of bounds for the difference between the stop-loss transforms of two compound distributions with the same severity distribution. The class contains bounds of any degree of accuracy in the sense that the bounds can be chosen as close to the exact value as desired; the time required to compute the bounds increases with the accuracy.

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Copyright
Corresponding author
Department of Mathematics, University of Bergen, Allégaten 55, N-5007 Bergen, Norway
Departement Toegepaste Economische, Wetenschappen, Katholieke Universiteit Leuven, Huis Eighen Heerd, Minderbroederstraat 5, B-3000 Leuven, Belgium
References
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De Pril, N. & Dhaene, J. (1992). Error bounds for compound Poisson approximations to the individual risk model. ASTIN Bulletin 22, 135148.
Dhaene, J. & Sundt, B. (1996). On error bounds for approximations to aggregate claims distributions. Submitted for publication in ASTIN Bulletin.
Goovaerts, M.J., Kaas, R., Van Heerwaarden, A.E., & Bauwelinckx, T. (1990). Effective Actuarial Methods. North-Holland, Amsterdam.
Sundt, B. (1991). On approximating aggregate claims distributions and stop-loss premiums by truncation. Insurance: Mathematics and Economics 10, 133136.
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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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