Combining Panjer's recursion with convolution (Q1116616)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Combining Panjer's recursion with convolution |
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Combining Panjer's recursion with convolution (English)
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1989
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We present a model for the total claims on a non-life portfolio that is almost as attractive from the computational point of view as the compound Poisson model. Its stop-loss premiums are much better upper bounds for the exact stop-loss premiums.
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Panjer's recursion
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convolution
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distribution function
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total claims
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non-life portfolio
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compound Poisson model
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stop-loss premiums
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upper bounds
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