Numerische Berechnung von Gesamtschadenverteilungen

DOI10.1007/BF02856541zbMath0472.62104OpenAlexW4249652127MaRDI QIDQ3925764

Jürgen Bertram

Publication date: 1981

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02856541

zbMATH Keywords

fast Fourier transformsrisk theoryconvolution powerssparse vector algorithm

Mathematics Subject Classification ID

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

Related Items (8)

Two inequalities on stop-loss premiums and some of its applications ⋮ A numerical approach to utility functions in risk theory ⋮ On a generalized total claims amount ⋮ Feller-Ross-Approximation für Summenverteilungen ⋮ Fourier methods for the claims amounts of largest claims reinsurance covers ⋮ The total claims amount of largest claims reinsurance treaties revisited ⋮ Forecasting aggregate claims using score‐driven time series models ⋮ On mean scaled insurance risk models

Cites Work

• Unnamed Item
• On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
• Elementare Darstellung der schnellen Fouriertransformation
• The Calculation of Fourier Integrals

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