An Extension of Panjer's Recursion

DOI10.2143/AST.32.2.1030MaRDI QIDQ4661665zbMATH OpenOpenAlexFDO

Authors Anett Liewald, Klaus D. Schmidt, Klaus Thomas 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

Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

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• Panjer recursion versus FFT for compound distributions
• An elementary proof of the Adelson-Panjer recursion formula
• Combining Panjer's recursion with convolution
• Recursive evaluation of aggregate claims distributions.
• On a stochastic order induced by an extension of Panjer's family of discrete distributions
• A family of induced distributions
• Exact distribution of random order statistics and applications in risk management
• Robust newsvendor problems with compound Poisson demands
• A generalization of Panjer's recursion and numerically stable risk aggregation
• Recursions for compound phase distributions
• Delta operators, power series distributions and recursions for compound sums
• Approximations related to the sums of \(m\)-dependent random variables
• Prediction of outstanding payments in a Poisson cluster model
• A convolution identity for exchangeable risks
• Implementing loss distribution approach for operational risk
• Randomly stopped \(k\)th order statistics
• scientific article; zbMATH DE number 5633579 (Why is no real title available?)
• Extended Chandrasekhar recursions
• A Note on Compound Generalized Distributions: A Comment on the Article by B. Kling and M. Goovaerts
• Extensions of Dorfman's theory
• Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
• scientific article; zbMATH DE number 4189064 (Why is no real title available?)
• On the Lagrangian Katz family of distributions as a claim frequency model
• A new recursive theorem on \(n\)-extendibility
• Extensions of Panjer's recursion for mixed compound distributions
• Macro-economic version of a classical formula in risk theory
• Bivariate recursive equations on excess-of-loss reinsurance
• Conditional recursive equations on excess-of-loss reinsurance

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