RECURSIONS FOR THE INDIVIDUAL MODEL

Recently, Waldmann considered an algorithm to compute the aggregate cl aims distribution in the individual life model which is an efficient r eformulation of the original exact algorithm of De Pril. In this paper we will show that in practice the approximations as proposed by De Pr il are still more efficient than the exact algorithm of Waldmann both in terms of the number of computations required and of the memory occu pied by intermediate results. Furthermore we will generalize the algor ithm of Waldmann to arbitrary claim amount distributions. We will comp are this algorithm with respect to efficiency with the algorithms that were derived by De Pril for this model. It turns out that the approxi mations of De Pril are most efficient for practical computations.