A new method for evaluating the distribution of aggregate claims

DOI10.1016/J.AMC.2005.09.038MaRDI QIDQ2495976zbMATH OpenOpenAlexFDO

Authors M. G. Bruno, Emanuela Camerini, Angelo Manna, Alvaro Tomassetti

Publication date 30 June 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.09.038

zbMATH Keywords

alternative method to recursion and fast Fourier transformdesired level of accuracydirect approximation of convolution and counting distributionstables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Recursive evaluation of aggregate claims distributions.
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Cites work

• A generalisation of the De Pril transform
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• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• On approximating aggregate claims distributions and stop-loss premiums by truncation
• On approximating distributions by approximating their De Pril transforms
• Some results on moments and cumulants

Cited in

(15)

• On the computation of aggregate claims distributions: some new approximations
• Proportional convergence and tail-cutting techniques in evaluating aggregate claim distributions
• Recursive evaluation of aggregate claims distributions.
• Negative claim amounts, Bessel functions, linear programming and Miller's algorithm
• Two binomial methods for evaluating the aggregate claims distribution in De Pril's individual risk model
• Computation of the Aggregate Claim Amount Distribution Using R and Actuar
• scientific article; zbMATH DE number 3856261 (Why is no real title available?)
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Comparing convolutions with Dhaene-Vandebroek and De Pril's recursions from a computational point of view
• scientific article; zbMATH DE number 599629 (Why is no real title available?)
• scientific article; zbMATH DE number 1093214 (Why is no real title available?)
• Moment-based density approximations for aggregate losses
• Polynomial approximations for bivariate aggregate claims amount probability distributions
• Some distributional properties of a class of counting distributions with claims analysis applications
• Forecasting aggregate claims using score‐driven time series models

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