An Extension of Panjer's Recursion

DOI10.2143/AST.32.2.1030zbMath1098.91540OpenAlexW2126321713MaRDI QIDQ4661665

Klaus D. Schmidt, Anett Liewald, Klaus Th. Hess

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.32.2.1030

Mathematics Subject Classification ID

Related Items (16)

Randomly Stopped $${\varvec{k}}$$th Order Statistics ⋮ A family of induced distributions ⋮ Delta operators, power series distributions and recursions for compound sums ⋮ Approximations related to the sums of \(m\)-dependent random variables ⋮ A generalization of Panjer's recursion and numerically stable risk aggregation ⋮ Recursive evaluation of aggregate claims distributions. ⋮ Exact distribution of random order statistics and applications in risk management ⋮ On the Lagrangian Katz family of distributions as a claim frequency model ⋮ Robust newsvendor problems with compound Poisson demands ⋮ Extensions of Dorfman’s Theory ⋮ CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES ⋮ Recursions for compound phase distributions ⋮ Panjer recursion versus FFT for compound distributions ⋮ Implementing loss distribution approach for operational risk ⋮ On a stochastic order induced by an extension of Panjer's family of discrete distributions ⋮ Prediction of outstanding payments in a Poisson cluster model

Cites Work

• Unnamed Item

This page was built for publication: An Extension of Panjer's Recursion