Difference equation approaches in evaluation of compound distributions

DOI10.1016/0167-6687(87)90006-0zbMath0613.62020OpenAlexW2044967912MaRDI QIDQ1819487

Harry H. Panjer, Gordon E. Willmot

Publication date: 1987

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90006-0

zbMATH Keywords

compound distributionPareto distributioninverse Gaussiancontagious frequency distributionsNeyman classseverity distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Additive difference equations (39A10) Statistical distribution theory (62E99)

Related Items

A family of discrete distributions, A generalization of Panjer's recursion and numerically stable risk aggregation, General quadratic distance methods for discrete distributions definable recursively., Recursive evaluation of aggregate claims distributions., On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution, On the distributions of two classes of multiple dependent aggregate claims, Finding efficient recursions for risk aggregation by computer algebra, On Mixed and Compound Mixed Poisson Distributions, COMPOUND RANDOM VARIABLES, Negative claim amounts, Bessel functions, linear programming and Miller's algorithm, On a stochastic order induced by an extension of Panjer's family of discrete distributions, On some properties of the ``apparent length distribution and a compound distribution, On computational formulas for densities and moments of compound distributions, Strategies for computation of compound distributions with two-sided severities

Cites Work

• A Generalized Class of Contagious Distributions
• A property of the generalized inverse Gaussian distribution with some applications
• Inference for Sichel's Compound Poisson Distribution
• The numerical evaluation of the aggregate claim density function via integral equations
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