Strategies for computation of compound distributions with two-sided severities
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Publication:1074284
DOI10.1016/0167-6687(86)90035-1zbMath0589.62091MaRDI QIDQ1074284
William S. Jewell, Ruy Luiz Milidiú
Publication date: 1986
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(86)90035-1
computational results; recursive scheme; analytically-derived tail approximations; discrete compound distributions; iterative use of Panjer's formula; splitting of positive and negative components; two-sided severities
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C99: Probabilistic methods, stochastic differential equations
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Cites Work