Panjer recursion versus FFT for compound distributions
From MaRDI portal
Recommendations
- Speedy convolution algorithms and Panjer recursions for phase-type distributions
- Recursions for compound phase distributions
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- Efficient And Precise Computation Of Convolutions: Applying Fft To Heavy Tailed Distributions
- FFT-based exponentially weighted recursive least squares computations
- The Frobenius FFT
- A new method for fast computation of cumulative distribution functions by fractional FFT
- On recursive discrete Fourier transformation
- Two recursive algorithms for the Fourier series
- scientific article; zbMATH DE number 3982402
Cites work
- scientific article; zbMATH DE number 4044984 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Review on Phase-type Distributions and their Use in Risk Theory
- An Algorithm for the Machine Calculation of Complex Fourier Series
- An Extension of Panjer's Recursion
- Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
- Speedy convolution algorithms and Panjer recursions for phase-type distributions
Cited in
(35)- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods
- Implementable coupling of Lévy process and Brownian motion
- A bonus-malus framework for cyber risk insurance and optimal cybersecurity provisioning
- Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
- Determination of the distribution of total loss from the fractional moments of its exponential
- Expansions for moments of compound Poisson distributions
- Prediction of components in random sums
- Recursions for the individual risk model
- Implementing loss distribution approach for operational risk
- Strategies for computation of compound distributions with two-sided severities
- Delta operators, power series distributions and recursions for compound sums
- On a fuzzy discretization of continuous distributions with applications to risk models
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- On some compound distributions with Borel summands
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
- Tail Moments of Compound Distributions
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- Moment-based density approximations for aggregate losses
- Computing tails of compound distributions using direct numerical integration
- Risk aggregation with FGM copulas
- Numerical algorithms for Panjer recursion by applying Bernstein approximation
- A generalization of Panjer's recursion and numerically stable risk aggregation
- A continuous-time model for claims reserving
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
- Aggregating risks with partial dependence information
- Speedy convolution algorithms and Panjer recursions for phase-type distributions
- Comparison of approximations for compound Poisson processes
- Recursions and fast Fourier transforms for a new bivariate aggregate claims model
- EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
- Collective loss reserving with two types of claims in motor third party liability insurance
- Error bounds for stop-loss premiums calculated with the Fast Fourier Transform
- Fast Fourier transform for multivariate aggregate claims
- Beyond the Tweedie reserving model: the collective approach to loss development
This page was built for publication: Panjer recursion versus FFT for compound distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1028538)
