Proportional convergence and tail-cutting techniques in evaluating aggregate claim distributions

DOI10.1016/0167-6687(94)00008-5zbMath0798.62100OpenAlexW2001741023MaRDI QIDQ1333589

Harry H. Panjer, Shaun S. Wang

Publication date: 15 September 1994

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00008-5

zbMATH Keywords

stabilityrescalingcompound distributionMiller's algorithmlinear recurrence equationoverflowunderflowaggregate claim distributionslarge insurance portfoliosPanjer-type recursionsproportional convergencetail-cutting techniques

Mathematics Subject Classification ID

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

Related Items (1)

Recursive evaluation of aggregate claims distributions.

Cites Work

• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
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