| Article ID: | iaor19961177 |
| Country: | Belgium |
| Volume: | 36 |
| Start Page Number: | 293 |
| End Page Number: | 304 |
| Publication Date: | Oct 1994 |
| Journal: | Cahiers du Centre d'tudes de Recherche Oprationnelle |
| Authors: | Reinhard Jean-Marie |
| Keywords: | probability |
For numerical calculation of stop-loss premiums in the compound Poisson collective model of risk theory, the claim size distribution is generally discretized. The author obtains an upper bound for the error resulting from this discretization.