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Document Details : Title: On the Exact Calculation of the Aggregate Claims Distribution in the Individual Life Model Author(s): WALDMANN, Karl-Heinz Journal: ASTIN Bulletin Volume: 24 Issue: 1 Date: May 1994 Pages: 89-96 DOI: 10.2143/AST.24.1.2005083 Abstract : An iteration scheme is derived for calculating the aggregate claims distribution in the individual life model. The (exact) procedure is an efficient reformulation of De Pril's (1986) algorithm, considerably reducing both the number of arithmetic operations to be carried out and the number of data to be kept at each step of iteration. Scaling functions are used to stabilize the algorithm in case of a portfolio with a large number of policies. Some numerical results are displayed to demonstrate the efficiency of the method. |
