Search Results - subject:"Compound distributions"

Importance Sampling for Sums of Lognormal Distributions, with Applications to Operational Risk

Bee, Marco - Dipartimento di Economia e Management, Università … - 2007

In this paper we estimate tail probabilities for the sum of Lognormal distributions. We propose to use a defensive mixture, and develop a method of finding the optimal density via the EM algorithm; we also consider the technique which assumes the importance sampling density to belong to the same...

Persistent link: https://www.econbiz.de/10005628807

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