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)

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• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
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• Solving Ordinary Differential Equations I
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

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• A generalization of Panjer's recursion and numerically stable risk aggregation
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