Search Results - subject:"Compound Distributions"

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Decompounding random sums: a nonparametric approach

Bøgsted, Martin; Pitts, Susan - In: Annals of the Institute of Statistical Mathematics 62 (2010) 5, pp. 855-872

Persistent link: https://www.econbiz.de/10008533949

Panjer recursion versus FFT for compound distributions

Embrechts, Paul; Frei, Marco - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 497-508

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk …

Persistent link: https://www.econbiz.de/10010950135

Panjer recursion versus FFT for compound distributions

Embrechts, Paul; Frei, Marco - In: Computational Statistics 69 (2009) 3, pp. 497-508

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk …

Persistent link: https://www.econbiz.de/10010759344

Recursive Evaluation of Some Bivariate Compound Distributions

Vernic, Raluca - Universitatea Ovidius <Constanta> - 1999

, Romania ABSTRACT In this paper we consider compound distributions where the counting distribution is a bivariate … corresponding compound distributions and some examples of distributions in this class. KEYWORDS Recursions; compound … from compound distributions with univariate counting distribution (see Wilimot, 1986; Willmot and Panjer, 1987; Panjer …

Persistent link: https://www.econbiz.de/10005847162

Decompounding poisson random sums: Recursively truncated estimates in the discrete case

Buchmann, Boris; Grübel, Rudolf - In: Annals of the Institute of Statistical Mathematics 56 (2004) 4, pp. 743-756

Persistent link: https://www.econbiz.de/10005616414

Nonparametric estimation of compound distributions with applications in insurance

Pitts, S. - In: Annals of the Institute of Statistical Mathematics 46 (1994) 3, pp. 537-555

Persistent link: https://www.econbiz.de/10005395805