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Document Details : Title: Maximizing Compound Poisson Stop-Loss Premiums Numerically with Given Mean and Variance Author(s): KAAS, R. , VANNESTE, M. , GOOVAERTS, M.J. Journal: ASTIN Bulletin Volume: 22 Issue: 2 Date: November 1992 Pages: 225-233 DOI: 10.2143/AST.22.2.2005117 Abstract : This paper describes a technique to find the maximal stop-loss premiums in a given retention for a compound Poisson risk with known parameter, and known mean and variance of the claims. Restricting to an arithmetic and finite support of the claims, one gets an optimization problem of a non-linear function with a computable gradient, under linear constraints. Numeraical results are given contrasting the method with the method of a previous paper, where only diatomic distributions were considered. |
