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Approximative Evaluation of the Distribution Function of Aggregate Claims1

Published online by Cambridge University Press:  29 August 2014

T. Pentikäinen
T. Pentikäinen*
Affiliation:
Helsinki
*
Kasavuorentie 12 C 9, SF-02700 Kauniainen, Finland.
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Abstract

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A formula, originally presented by Haldane (1938), for the evaluation of the distribution of aggregate claims is examined and compared with some other approaches. The idea is to apply a symmetrizing transformation to the original variable in order to make it susceptible to be approximated by the normal distribution.

Keywords

Aggregate claim distributionapproximate evaluationNP methodHaldane approximationWilson–Hilferty approximation
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 17 , Issue 1 , April 1987 , pp. 15 - 39
Copyright
Copyright © International Actuarial Association 1987

Footnotes

1.

Presented originally at the Risk Theory Seminar in Oberwolfach 1984 and in an extended form at the Risk Theory Seminar of the American Risk and Insurance Association in Nashville 1985.

References

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