Maximizing Compound Poisson Stop-loss Premiums Numerically with Given Mean and Variance

This paper describes a technique to find the maximal stop-loss premiums in a given retention for a compound Poisson risk with known parameter, and known mean and variance of the claims. Restricting to an arithmetic and finite support of the claims, one gets an optimization problem of a non-linear function with a computable gradient, under linear constraints. Numerical results are given contrasting the method with the method of a previous paper, where only diatomic distributions were considered. Reinsurance Research - Loss Distributions, Size of