Panjer recursion versus FFT for compound distributions

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide some numerical examples. Copyright Springer-Verlag 2009

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Year of publication:	2009
Authors:	Embrechts, Paul ; Frei, Marco
Published in:	Computational Statistics. - Springer. - Vol. 69.2009, 3, p. 497-508
Publisher:	Springer
Subject:	Panjer recursion \| Fast Fourier transform \| Compound distributions \| Risk management

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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