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Multi-Period Aggregate Loss Distributions for a Life Portfolio
Published online by Cambridge University Press: 29 August 2014
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.
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- Copyright © International Actuarial Association 1999
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