Negative claim amounts, Bessel functions, linear programming and Miller's algorithm

DOI10.1016/0167-6687(91)90019-TzbMath0741.62094MaRDI QIDQ1814445

Werner Hürlimann

Publication date: 25 June 1992

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

zbMATH Keywords

linear programmingcompound Poissonapproximationsindividual modelMiller's algorithmlinear recursionaggregate claims distributionsgeneralized modified Bessel functionsindependent differenceslinear difference equation of infinite ordernegative claim amountsstop-loss error function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90)

Related Items (5)

On two-sided compound binomial distributions ⋮ A uniform approximation to the sampling distribution of the coefficient of variation ⋮ The concepts of pseudo compound Poisson and partition representations in discrete probability ⋮ Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums ⋮ Truncated linear zero utility pricing and actuarial protection models

Cites Work

• Strategies for computation of compound distributions with two-sided severities
• An elementary proof of the Adelson-Panjer recursion formula
• Difference equation approaches in evaluation of compound distributions
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Error bounds for stop-loss premiums calculated with the Fast Fourier Transform
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