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Document Details : Title: Between Individual and Collective Model for the Total Claims Author(s): KAAS, R. , VAN HEERWAARDEN, A.E. , GOOVAERTS, M.J. Journal: ASTIN Bulletin Volume: 18 Issue: 2 Date: November 1988 Pages: 169-174 DOI: 10.2143/AST.18.2.2014950 Abstract : This article studies random variables whose stop-loss rank falls between a certain risk (assumed to be integer-valued and non-negative, but not necessarily of life-insurance type) and the compound Poisson approximation to this risk. They consist of a compound Poisson part to which some Bernouilli-type variables are added. Replacing each term in an individual model with such a random variable leads to an approximation model for the total claims on a portfolio of contracts that is computationally almost as attractive as the compound Poisson approximation used in the standard collective model. The resulting stop-loss premiums are much closer to real values. |
