Panjer recursion versus FFT for compound distributions (Q1028538)
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scientific article; zbMATH DE number 5575941
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| English | Panjer recursion versus FFT for compound distributions |
scientific article; zbMATH DE number 5575941 |
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Panjer recursion versus FFT for compound distributions (English)
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6 July 2009
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This paper gives a survey on the tools for numerical evaluation of compound distributions, which is an important task in insurance mathematics and quantitative risk management. Recursive methods and transformed based techniques are considered, the relative merits are pointed out and some numerical examples are provided.
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Panjer recursion
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FFT
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compound distributions
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0.85793674
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0.84280574
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0.84119946
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0.82821554
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0.82393503
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0.82336146
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0.8195794
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