On the Exact Computation of the Aggregate Claims Distribution in the Individual Life Model

Abstract

Abstract A recursive expression is derived for computing exactly the distribution of aggregate claims of a portfolio of life insurance policies. The recursion generalizes a formula of White and Greville for the claim numbers distribution and improves Kornya's approximation method for the aggregate claims distribution. It can be seen as the counterpart in the individual model of Panjer's recursion formula for the collective model.