Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require...

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Year of publication:	2000-11-01
Authors:	Grübel, Rudolf ; Hermesmeier, Renate
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 30 - No. 2 - 2000, 309-331
Subject:	Verteilung \| Total claim size distribution \| Ruintheorie \| rmite time ruin probabilities \| Konvergenz <Informationstechnik> \| acceleration of convergence \| Diskretisierung \| discretization

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Extent:	848896 bytes 24 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/10005847107