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Document Details : Title: On Stop-loss Premiums for the Individual Model Author(s): KAAS, R. , VAN HEERWAARDEN, A.E. , GOOVAERTS, M.J. Journal: ASTIN Bulletin Volume: 18 Issue: 1 Date: April 1988 Pages: 91-97 DOI: 10.2143/AST.18.1.2014963 Abstract : It is shown how the upper bounds for stop-loss premiums (and approximations to tail probabilities) obtained by replacing the individual model for a portfolio of risks by the collective model can be improved upon a cost of only slightly more computer time. The method used is simply to keep a restricted number of large risks as they are instead of approximating them by a compound Poisson distribution. In a real-life example, the relative error in the stop-loss premium is shown to be reduced drastically by keeping only 10 out of 743 risks unchanged. |
