On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform
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- Vernic, Raluca, 2018. "On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 184-193.
- Grübel, Rudolf & Hermesmeier, Renate, 1999. "Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 197-214, November.
- Sundt, Bjørn, 1999. "On Multivariate Panjer Recursions," ASTIN Bulletin, Cambridge University Press, vol. 29(1), pages 29-45, May.
- Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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Keywords
multivariate collective model; multivariate compound distribution; recursions; Fast Fourier Transform;All these keywords.
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