Approximations for stop-loss premiums

Approximations for stop-loss premiums

We derive an approximation for stop-loss premiums for a number of specific cases. Both exponential and subexponential estimates are derived while special emphasis is given to the compound Poisson case. The full set of examples should provide a wide variety of situations covering most cases occurring...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 1987-07, Vol.6 (3), p.195-202
Hauptverfasser: Teugels, J.L., Willmot, G.
Format: Artikel
Sprache:eng
Schlagworte:
Compound distribution
Compound Poisson claim size process
Exponential estimates
Insurance
Insurance premiums
Mathematical models
Mathematics
Statistical analysis
Stop-loss premiums
Subexponentiality
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Beschreibung
Zusammenfassung:We derive an approximation for stop-loss premiums for a number of specific cases. Both exponential and subexponential estimates are derived while special emphasis is given to the compound Poisson case. The full set of examples should provide a wide variety of situations covering most cases occurring in practice.
ISSN:0167-6687
1873-5959
DOI:10.1016/0167-6687(87)90013-8