Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

DOI10.2143/AST.30.2.504638MaRDI QIDQ3372056zbMATH OpenOpenAlexFDO

Authors Renate Hermesmeier, Rudolf Grübel

Publication date 17 February 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.30.2.504638

zbMATH Keywords

acceleration of convergencediscretizationruin probabilitiestotal claim size distribution

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Aspects of risk theory
• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 965557 (Why is no real title available?)
• Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday

Cited in

(20)

• Panjer recursion versus FFT for compound distributions
• Strategies for computation of compound distributions with two-sided severities
• Fast Fourier transform for multivariate aggregate claims
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
• De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• Backward difference recursions and infinite series representations in computational risk theory
• EXPANSION IN BELL POLYNOMIALS OF THE DISTRIBUTION OF THE TOTAL CLAIM AMOUNT WITH WEIBULL-DISTRIBUTED CLAIM SIZES
• On the Use of Equispaced Discrete Distributions
• Numerical algorithms for Panjer recursion by applying Bernstein approximation
• scientific article; zbMATH DE number 599629 (Why is no real title available?)
• scientific article; zbMATH DE number 1116594 (Why is no real title available?)
• Uniform error bounds for a continuous approximation of non-negative random variables
• Comparison of approximations for compound Poisson processes
• Measuring marginal risk contributions in credit portfolios
• A greedy method for the discretization of continuous random variables with applications in insurance
• Error bounds in approximations of random sums using gamma-type operators

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