Abstract
One of the central problems in risk theory is the calculation of the distribution function F of aggregate claims of a portfolio. Whereas formerly mainly approximation methods could be used, nowadays the increased speed for the computers allows application of iterative methods of numerical mathematics. Nevertheless some of the classical approximation methods are still of some interest, especially a method developed by Esscher.
Volume
13:1
Page
57
Year
1982
Categories
Financial and Statistical Methods
Loss Distributions
Severity
Financial and Statistical Methods
Aggregation Methods
Simulation
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
