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On Multivariate Panjer Recursions

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  • Sundt, Bjørn

Abstract

In the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector. We discuss situations within insurance where such models could be applicable, and consider some special cases of the general algorithm. Finally we deduce from the algorithm a multivariate extension of De Pril's (1985) recursion for convolutions.

Suggested Citation

  • Sundt, Bjørn, 1999. "On Multivariate Panjer Recursions," ASTIN Bulletin, Cambridge University Press, vol. 29(1), pages 29-45, May.
  • Handle: RePEc:cup:astinb:v:29:y:1999:i:01:p:29-45_00
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