Finding efficient recursions for risk aggregation by computer algebra

DOI10.1016/J.CAM.2008.01.025MaRDI QIDQ953412zbMATH OpenOpenAlexFDO

Authors Stefan Gerhold, Richard Warnung

Publication date 20 November 2008

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0707.3028

zbMATH Keywords

collective risk modelcomputer algebrarisk aggregationlinear recursions\(D\)-finite functions

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30) Distribution theory (60E99)

Abstract: We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the claim size be algebraic. The probability generating function of the claim number is supposed to be from the rather general class of D-finite functions.

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Cited in

(4)

• Recursions for the individual risk model
• Numerical algorithms for Panjer recursion by applying Bernstein approximation
• A generalization of Panjer's recursion and numerically stable risk aggregation
• Minimal faithful upper-triangular matrix representations for solvable Lie algebras

Describes a project that uses

Uses Software

• gfun
• GeneratingFunctions

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