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Computational aspects of recursive evaluation of compound distributions

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  • Panjer, Harry H.
  • Willmot, Gordon E.

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  • Panjer, Harry H. & Willmot, Gordon E., 1986. "Computational aspects of recursive evaluation of compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 5(1), pages 113-116, January.
    • Handle: RePEc:eee:insuma:v:5:y:1986:i:1:p:113-116
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    Cited by:

    1. Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
    2. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    3. Paul Embrechts & Marco Frei, 2009. "Panjer recursion versus FFT for compound distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 497-508, July.
    4. Pavel V. Shevchenko, 2010. "Calculation of aggregate loss distributions," Papers 1008.1108, arXiv.org.
    5. Ambagaspitiya, R. S., 1995. "A family of discrete distributions," Insurance: Mathematics and Economics, Elsevier, vol. 16(2), pages 107-127, May.

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