Numerical algorithms for Panjer recursion by applying Bernstein approximation

DOI10.1007/S11464-012-0230-5MaRDI QIDQ384623zbMATH OpenOpenAlexFDO

Authors Si-yuan Xie, Jingping Yang, Shulin Zhou

Publication date 28 November 2013

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-012-0230-5

zbMATH Keywords

Bernstein approximationcompound risk modelexcess-of-loss reinsurancePanjer recursion

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Distribution theory (60E99)

Review text

The authors consider the compound risk model in actuarial science. They compute the distribution of the total loss \(S=\sum_{i=1}^NX_i\) using Panjer recursion when the number of claims \(N\) belongs to \((a,b,l)\) family i.e., for the probability function \(p^n\) of \(N\) \(\frac{p_k}{p_{k-1}}=a+\frac{b}{k}\), \(k=l+1,l+2,\dots\), holds for any \(l\geq 0\) and some constants \(a\), \(b\). For total claims with continuous distribution, the numerical calculation of \(S\) by applying Panjer recursion involves an approximation of the integration. In order to simplify the numerical algorithms, the authors apply Bernstein approximation for the continuous distribution function and obtain approximated recursive equations which are used for computing the approximated values of the compound distribution. A theoretical error bound for the approximation is also obtained.

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• Finding efficient recursions for risk aggregation by computer algebra
• scientific article; zbMATH DE number 3988680 (Why is no real title available?)
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Recursive equations for compound distribution with the severity distribution of the mixed type
• Solving Ordinary Differential Equations I
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
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Cited in

(2)

• A generalization of Panjer's recursion and numerically stable risk aggregation
• Speedy convolution algorithms and Panjer recursions for phase-type distributions

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