An elementary proof of the Adelson-Panjer recursion formula

DOI10.1016/0167-6687(88)90094-7zbMath0657.62122OpenAlexW1965507720MaRDI QIDQ1110975

Werner Hürlimann

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90094-7

zbMATH Keywords

Adelson-Panjer recursion formuladiscrete compound Poisson densities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical solutions to stochastic differential and integral equations (65C30)

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