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 (Q4036292)
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scientific article; zbMATH DE number 168626
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| English | 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 |
scientific article; zbMATH DE number 168626 |
Statements
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 (English)
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16 May 1993
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Richardson extrapolation
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fast Fourier transform algorithm
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risk theory
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total claim size distribution
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mean
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variance
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claim size process
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Sparre Andersen model
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probability of ruin
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discretization error
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compound distributions
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0.87900710105896
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0.8309773206710815
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0.8286158442497253
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0.7929660081863403
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