Panjer recursion versus FFT for compound distributions (Q1028538): Difference between revisions
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Revision as of 20:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Panjer recursion versus FFT for compound distributions |
scientific article |
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Panjer recursion versus FFT for compound distributions (English)
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6 July 2009
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This paper gives a survey on the tools for numerical evaluation of compound distributions, which is an important task in insurance mathematics and quantitative risk management. Recursive methods and transformed based techniques are considered, the relative merits are pointed out and some numerical examples are provided.
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Panjer recursion
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FFT
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compound distributions
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