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

Published online by Cambridge University Press:  29 August 2014

R. Kaas ,
M. Vanneste  and
M.J. Goovaerts
R. Kaas*
Affiliation:
University of Amsterdam
M. Vanneste*
Affiliation:
K.U. Leuven
M.J. Goovaerts*
Affiliation:
K.U. Leuven, University of Amsterdam
*
Institute for Actuarial Science and Econometrics, Roetersstraat 11, NL-1018 WB Amsterdam.
Institute for Actuarial Science and Econometrics, Roetersstraat 11, NL-1018 WB Amsterdam.
Institute for Actuarial Science and Econometrics, Roetersstraat 11, NL-1018 WB Amsterdam.
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Abstract

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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.

Numeraical results are given contrasting the method with the method of a previous paper, where only diatomic distributions were considered.

Type
Discussion Papers
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 2 , November 1992 , pp. 225 - 233
Copyright
Copyright © International Actuarial Association 1992

References

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