Critical starting points for stable evaluation of mixed Poisson probabilities

DOI10.1016/0167-6687(93)90409-IzbMath0797.62098OpenAlexW2014230024MaRDI QIDQ1323597

Harry H. Panjer, Shaun S. Wang

Publication date: 25 October 1994

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

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90409-i

zbMATH Keywords

algorithmsstabilityincomplete gamma functionconfluent hypergeometric functionmodified Bessel functiontruncated normalrecursionsrecurrence equationMiller's algorithmgeneralized Paretocritical starting pointsinverse gammamixed Poisson probabilitiesshifted-ParetoSicheltransformed gammatruncated gamma

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

Distribution of the number of losses in busy-periods of oscillating \(M^X / G / 1 / (n, a, b)\) systems ⋮ Recursive evaluation of aggregate claims distributions. ⋮ Analysis of \(GI^{X}/ M(n)// N\) systems with stochastic customer acceptance policy ⋮ Mixed Poisson Distributions

Cites Work

• Nonlinear recurrence relations and induced orthogonal polynomials
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