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On the Numerical Evaluation of Stop-Loss Premiums

Author

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  • Covens, F.
  • Van Wouwe, M.
  • Goovaerts, M.

Abstract

A numerical procedure is described to evaluate the stop-loss premium in case the risk process is a compound Poisson process. The method is mainly based on an algorithm of R. Piessens and M. Branders for the numerical evaluation of Fourier transforms.

Suggested Citation

  • Covens, F. & Van Wouwe, M. & Goovaerts, M., 1979. "On the Numerical Evaluation of Stop-Loss Premiums," ASTIN Bulletin, Cambridge University Press, vol. 10(3), pages 318-324, December.
    • Handle: RePEc:cup:astinb:v:10:y:1979:i:03:p:318-324_00
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    Cited by:

    1. Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.

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