Difference equation approaches in evaluation of compound distributions

DOI10.1016/0167-6687(87)90006-0zbMath0613.62020OpenAlexW2044967912MaRDI QIDQ1819487

Harry H. Panjer, Gordon E. Willmot

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90006-0

zbMATH Keywords

compound distributionPareto distributioninverse Gaussiancontagious frequency distributionsNeyman classseverity distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Additive difference equations (39A10) Statistical distribution theory (62E99)

Related Items

A family of discrete distributions ⋮ A generalization of Panjer's recursion and numerically stable risk aggregation ⋮ General quadratic distance methods for discrete distributions definable recursively. ⋮ Recursive evaluation of aggregate claims distributions. ⋮ On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution ⋮ On the distributions of two classes of multiple dependent aggregate claims ⋮ Finding efficient recursions for risk aggregation by computer algebra ⋮ On Mixed and Compound Mixed Poisson Distributions ⋮ COMPOUND RANDOM VARIABLES ⋮ Negative claim amounts, Bessel functions, linear programming and Miller's algorithm ⋮ On a stochastic order induced by an extension of Panjer's family of discrete distributions ⋮ On some properties of the ``apparent length distribution and a compound distribution ⋮ On computational formulas for densities and moments of compound distributions ⋮ Strategies for computation of compound distributions with two-sided severities

Cites Work

• A Generalized Class of Contagious Distributions
• A property of the generalized inverse Gaussian distribution with some applications
• Inference for Sichel's Compound Poisson Distribution
• The numerical evaluation of the aggregate claim density function via integral equations
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