Numerical algorithms for Panjer recursion by applying Bernstein approximation (Q384623): Difference between revisions
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Property / author | |||
Property / author: Si-yuan Xie / rank | |||
Property / author | |||
Property / author: Jing-Ping Yang / rank | |||
Property / author | |||
Property / author: Shu Lin Zhou / rank | |||
Property / review text | |||
The authors consider the compound risk model in actuarial science. They compute the distribution of the total loss \(S=\sum_{i=1}^NX_i\) using Panjer recursion when the number of claims \(N\) belongs to \((a,b,l)\) family i.e., for the probability function \(p^n\) of \(N\) \(\frac{p_k}{p_{k-1}}=a+\frac{b}{k}\), \(k=l+1,l+2,\dots\), holds for any \(l\geq 0\) and some constants \(a\), \(b\). For total claims with continuous distribution, the numerical calculation of \(S\) by applying Panjer recursion involves an approximation of the integration. In order to simplify the numerical algorithms, the authors apply Bernstein approximation for the continuous distribution function and obtain approximated recursive equations which are used for computing the approximated values of the compound distribution. A theoretical error bound for the approximation is also obtained. | |||
Property / review text: The authors consider the compound risk model in actuarial science. They compute the distribution of the total loss \(S=\sum_{i=1}^NX_i\) using Panjer recursion when the number of claims \(N\) belongs to \((a,b,l)\) family i.e., for the probability function \(p^n\) of \(N\) \(\frac{p_k}{p_{k-1}}=a+\frac{b}{k}\), \(k=l+1,l+2,\dots\), holds for any \(l\geq 0\) and some constants \(a\), \(b\). For total claims with continuous distribution, the numerical calculation of \(S\) by applying Panjer recursion involves an approximation of the integration. In order to simplify the numerical algorithms, the authors apply Bernstein approximation for the continuous distribution function and obtain approximated recursive equations which are used for computing the approximated values of the compound distribution. A theoretical error bound for the approximation is also obtained. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Pavel Stoynov / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E99 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 41A10 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6234185 / rank | |||
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Property / zbMATH Keywords | |||
compound risk model | |||
Property / zbMATH Keywords: compound risk model / rank | |||
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Property / zbMATH Keywords | |||
Panjer recursion | |||
Property / zbMATH Keywords: Panjer recursion / rank | |||
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Property / zbMATH Keywords | |||
Bernstein approximation | |||
Property / zbMATH Keywords: Bernstein approximation / rank | |||
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Property / zbMATH Keywords | |||
excess-of-loss reinsurance | |||
Property / zbMATH Keywords: excess-of-loss reinsurance / rank | |||
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Property / author | |||
Property / author: Si-yuan Xie / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Jing-Ping Yang / rank | |||
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Property / author | |||
Property / author: Shu Lin Zhou / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s11464-012-0230-5 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1987193423 / rank | |||
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Property / cites work | |||
Property / cites work: Q3750978 / rank | |||
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Property / cites work | |||
Property / cites work: Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform? / rank | |||
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Property / cites work: Finding efficient recursions for risk aggregation by computer algebra / rank | |||
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Property / cites work: Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation / rank | |||
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Property / cites work: Solving Ordinary Differential Equations I / rank | |||
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Property / cites work: Speedy convolution algorithms and Panjer recursions for phase-type distributions / rank | |||
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Property / cites work: Computing compound distributions faster! / rank | |||
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Property / cites work: THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS / rank | |||
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Property / cites work: Bivariate recursive equations on excess-of-loss reinsurance / rank | |||
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Property / cites work: Recursive equations for compound distribution with the severity distribution of the mixed type / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 03:20, 7 July 2024
scientific article
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English | Numerical algorithms for Panjer recursion by applying Bernstein approximation |
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Statements
Numerical algorithms for Panjer recursion by applying Bernstein approximation (English)
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28 November 2013
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The authors consider the compound risk model in actuarial science. They compute the distribution of the total loss \(S=\sum_{i=1}^NX_i\) using Panjer recursion when the number of claims \(N\) belongs to \((a,b,l)\) family i.e., for the probability function \(p^n\) of \(N\) \(\frac{p_k}{p_{k-1}}=a+\frac{b}{k}\), \(k=l+1,l+2,\dots\), holds for any \(l\geq 0\) and some constants \(a\), \(b\). For total claims with continuous distribution, the numerical calculation of \(S\) by applying Panjer recursion involves an approximation of the integration. In order to simplify the numerical algorithms, the authors apply Bernstein approximation for the continuous distribution function and obtain approximated recursive equations which are used for computing the approximated values of the compound distribution. A theoretical error bound for the approximation is also obtained.
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compound risk model
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Panjer recursion
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Bernstein approximation
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excess-of-loss reinsurance
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