Some analytical approximations of stop-loss premiums

Details

Serval ID
serval:BIB_6A6C778AB91B
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Some analytical approximations of stop-loss premiums
Journal
Bulletin de l'Association Suisse des Actuaires
Author(s)
Dufresne F., Niederhauser E.
ISSN
1022-5617
Publication state
Published
Issued date
1997
Peer-reviewed
Oui
Number
1
Pages
25-47
Language
english
Abstract
This paper presents and compares five analytical formulas for the approximation of stop-loss premiums. Two of them, based on the inverse Gaussian distribution, are not widely known. The authors also suggest a technique which improves the precision of these approximations for portfolios.
Keywords
Stop-loss premiums, Inverse Gaussian distribution
Create date
19/11/2007 11:31
Last modification date
20/08/2019 15:25
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