Fast Fourier transform for multivariate aggregate claims

DOI10.1007/S40314-016-0336-6zbMath1395.62329OpenAlexW2341075918MaRDI QIDQ1655369

Raluca Vernic, Elena-Gratiela Robe-Voinea

Publication date: 9 August 2018

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-016-0336-6

zbMATH Keywords

discretizationfast Fourier transformexponential tiltingaliasing errorinsurance modelmultivariate aggregate claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (2)

On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution ⋮ On the recursive evaluation of a certain multivariate compound distribution

Cites Work

• Panjer recursion versus FFT for compound distributions
• Discrete Fourier Analysis
• Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
• Efficient And Precise Computation Of Convolutions: Applying Fft To Heavy Tailed Distributions
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• Recursions and fast Fourier transforms for a new bivariate aggregate claims model
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