Strategies for computation of compound distributions with two-sided severities

DOI10.1016/0167-6687(86)90035-1zbMath0589.62091OpenAlexW1993538061MaRDI QIDQ1074284

William S. Jewell, Ruy Luiz Milidiú

Publication date: 1986

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90035-1

zbMATH Keywords

computational resultsrecursive schemeanalytically-derived tail approximationsdiscrete compound distributionsiterative use of Panjer's formulasplitting of positive and negative componentstwo-sided severities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

On two-sided compound binomial distributions ⋮ Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model ⋮ Recursive evaluation of aggregate claims distributions. ⋮ Limiting tail behaviour of some discrete compound distributions ⋮ Negative claim amounts, Bessel functions, linear programming and Miller's algorithm

Cites Work

• Difference equation approaches in evaluation of compound distributions
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