Combining Panjer's recursion with convolution
type: Item
instance of: scholarly article
title: Combining Panjer's recursion with convolution
zbMATH Open document ID: 0666.62100
DOI: 10.1016/0167-6687(89)90042-5
author: A. E. van Heerwaarden
author: Rob Kaas
author: Marc J. Goovaerts
published in: Insurance Mathematics \& Economics
publication date: 1989-01-01T00:00:00Z
review text: We present a model for the total claims on a non-life portfolio that is almost as attractive from the computational point of view as the compound Poisson model. Its stop-loss premiums are much better upper bounds for the exact stop-loss premiums.
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 4090649
zbMATH Keywords: Panjer's recursion
zbMATH Keywords: convolution
zbMATH Keywords: distribution function
zbMATH Keywords: total claims
zbMATH Keywords: non-life portfolio
zbMATH Keywords: compound Poisson model
zbMATH Keywords: stop-loss premiums
zbMATH Keywords: upper bounds
MaRDI profile type: Publication
full work available at URL: 0167-6687(89)90042-5
OpenAlex ID: W2143116140
cites work: Q3314810
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description: scientific article; zbMATH DE number 4090649