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Document Details : Title: Multi-Period Aggregate Loss Distributions for a Life Portfolio Author(s): DICKSON, D.C.M. , WATERS, H.R. Journal: ASTIN Bulletin Volume: 29 Issue: 2 Date: November 1999 Pages: 295-310 DOI: 10.2143/AST.29.2.504616 Abstract : Algorithms for the calculation of the distribution of the aggregate claims from a life insurance portfolio have been derived by Kornya (1983), Hipp (1986) and De Pril (1986 and 1989). All these authors considered the distribution of the aggregate claims over a single period. In this paper we derive algorithms for the calculation of the joint distribution of the aggregate claims from a life portfolio over several periods. |
