Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting

Numerical evaluation of compound distributions is one of the centralnumerical tasks in insurance mathematics. Two widely used techniques are Panjer recursion and transform methods...

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Year of publication:	1999-11-01
Authors:	Grübel, Rudolf ; Hermesmeier, Renate
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 29 - No. 2 - 1999, 197-214
Subject:	Verteilung \| Total claim size distribution \| Zugriff \| random sums \| Ruintheorie \| rmite time ruin probabilities \| Aliasing \| aliasing

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Extent:	799744 bytes 18 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847155