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The numerical evaluation of the aggregate claim density function via integral equations

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Blätter der DGVFM

Zusammenfassung

In dieser Arbeit werden Standardmethoden zur Lösung von Volterra-Integralgleichungen benutzt, um genaue NÄherungswerte für die Gesamtschadendichte zu gewinnen. ZusÄtzlich wird eine Fehleranalyse der Verfahren durchgeführt. Der Approximationsalgorithmus wird auf ein Beispiel angewandt. Dem Artikel ist ein APL-Computerprogramm der dargestellten Verfahren für praktische Anwendungen beigefügt.

Summary

In this article it is shown how to use standard methods for the numerical solution of Volterra integral equations to approximate the aggregate claim density accurately. An error analysis is performed, too. The approximation procedure is carried out for some examples and an APL computer program is also included for practical applications.

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Authors and Affiliations

  1. Köln

    Berthold Ströter

Authors
  1. Berthold Ströter
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Ströter, B. The numerical evaluation of the aggregate claim density function via integral equations. Blätter DGVFM 17, 1–14 (1985). https://doi.org/10.1007/BF02808512

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  • DOI: https://doi.org/10.1007/BF02808512

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