Abstract
In an earlier note the present author deduced bounds for the approximation error of stop loss premiums when the aggregate claims distribution is calculated by a method introduced by Bertram. From the error bounds of the stop loss premiums we deduced bounds for the approximation error of the cumulative distribution and the discrete density of the aggregate claims. In the present note we shall improve the bounds for the cumulative distribution and the discrete density.
KEYWORDS Aggregate claims distributions; approximations; error bounds.
Volume
23:2
Page
301-303
Year
1994
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
