Panjer recursion versus FFT for compound distributions
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Publication:1028538
DOI10.1007/S00186-008-0249-2zbMATH Open1205.91081OpenAlexW1971560278MaRDI QIDQ1028538FDOQ1028538
Authors: Paul Embrechts, M. Frei 
Publication date: 6 July 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/20787
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Cites Work
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- An Algorithm for the Machine Calculation of Complex Fourier Series
- A Review on Phase-type Distributions and their Use in Risk Theory
- Speedy convolution algorithms and Panjer recursions for phase-type distributions
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
- An Extension of Panjer's Recursion
- On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
- Title not available (Why is that?)
Cited In (35)
- Recursions for the individual risk model
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
- Moment-based density approximations for aggregate losses
- A continuous-time model for claims reserving
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Prediction of components in random sums
- Aggregating risks with partial dependence information
- A generalization of Panjer's recursion and numerically stable risk aggregation
- Fast Fourier transform for multivariate aggregate claims
- On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
- Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach
- Comparison of approximations for compound Poisson processes
- Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
- On some compound distributions with Borel summands
- Beyond the Tweedie reserving model: the collective approach to loss development
- A bonus-malus framework for cyber risk insurance and optimal cybersecurity provisioning
- Implementable coupling of Lévy process and Brownian motion
- Speedy convolution algorithms and Panjer recursions for phase-type distributions
- Tail Moments of Compound Distributions
- Operational risk quantified with spectral risk measures: a refined closed-form approximation
- Delta operators, power series distributions and recursions for compound sums
- Expansions for moments of compound Poisson distributions
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
- Strategies for computation of compound distributions with two-sided severities
- Recursions and fast Fourier transforms for a new bivariate aggregate claims model
- Risk aggregation with FGM copulas
- Error bounds for stop-loss premiums calculated with the Fast Fourier Transform
- On a fuzzy discretization of continuous distributions with applications to risk models
- Collective loss reserving with two types of claims in motor third party liability insurance
- Determination of the distribution of total loss from the fractional moments of its exponential
- Loss data analysis: analysis of the sample dependence in density reconstruction by maxentropic methods
- Computing tails of compound distributions using direct numerical integration
- Numerical algorithms for Panjer recursion by applying Bernstein approximation
- Implementing loss distribution approach for operational risk
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