Recursions for multivariate compound phase variables

We show how to generalize the result given in [Eisele, K.-Th., 2006. Recursions for compound phase distributions. Insurance: Math. Econom. 38, 149-156] to the multivariate case, i.e.Â we find a Panjer-like recursion principle for the distribution of a multivariate compound phase variable. Recursion formulas and procedures for the bivariate case are given in detail. We give a possible application for agricultural risks and calculate concrete examples via a VB-program.

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Year of publication:	2008
Authors:	Eisele, Karl-Theodor
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 42.2008, 1, p. 65-72
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005375463