Panjer recursion versus FFT for compound distributions
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Publication:1028538
DOI10.1007/s00186-008-0249-2zbMath1205.91081OpenAlexW1971560278MaRDI QIDQ1028538
Publication date: 6 July 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/20787
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Related Items (26)
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Uses Software
Cites Work
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- On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
- Speedy convolution algorithms and Panjer recursions for phase-type distributions
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
- An Extension of Panjer's Recursion
- An Algorithm for the Machine Calculation of Complex Fourier Series
- A Review on Phase-type Distributions and their Use in Risk Theory
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