Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach (Q5742901)
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scientific article; zbMATH DE number 7052257
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| English | Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach |
scientific article; zbMATH DE number 7052257 |
Statements
Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach (English)
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8 May 2019
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mixed Poisson variables
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recursive algorithm
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economic application
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Panjer recursion
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conditional tail expectation
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0.7780338525772095
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0.7743431925773621
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0.7737540006637573
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0.7616426348686218
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0.7615070343017578
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