Recursive evaluation of aggregate claims distributions.

DOI10.1016/S0167-6687(02)00123-3zbMath1074.62533MaRDI QIDQ1413319

Bjoern Sundt

Publication date: 16 November 2003

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

zbMATH Keywords

ApproximationsError boundsAggregate claims distributionsRecursions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items (14)

Recursions for the individual risk model ⋮ One mixed negative binomial distribution with application ⋮ Forecasting aggregate claims using score‐driven time series models ⋮ Uniform error bounds for a continuous approximation of non-negative random variables ⋮ Matrix-Form Recursions for a Family of Compound Distributions ⋮ Approximation by \(B\)-spline convolution operators. A probabilistic approach ⋮ Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach ⋮ Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts ⋮ Recursions for compound phase distributions ⋮ Speedy convolution algorithms and Panjer recursions for phase-type distributions ⋮ Error bounds in approximations of random sums using gamma-type operators ⋮ Further improved recursions for a class of compound Poisson distributions ⋮ Inequalities for the De Pril approximation to the distribution of the number of policies with claims ⋮ Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios

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