Finding efficient recursions for risk aggregation by computer algebra
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Publication:953412
DOI10.1016/J.CAM.2008.01.025zbMATH Open1153.91592arXiv0707.3028OpenAlexW2113551577MaRDI QIDQ953412FDOQ953412
Richard Warnung, Stefan Gerhold
Publication date: 20 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Abstract: We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the claim size be algebraic. The probability generating function of the claim number is supposed to be from the rather general class of D-finite functions.
Full work available at URL: https://arxiv.org/abs/0707.3028
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