The multivariate De Pril transform.

DOI10.1016/S0167-6687(00)00041-XMaRDI QIDQ1584591zbMATH OpenWikidataFDO

Authors Bjørn Sundt

Publication date 2000

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A generalisation of the De Pril transform
• The De Pril transform of a compound \(\mathcal{R}_k\) distribution
• On approximating distributions by approximating their De Pril transforms
• scientific article; zbMATH DE number 4052814
• Some results on moments and cumulants

Cites work

• scientific article; zbMATH DE number 3090535 (Why is no real title available?)
• A generalisation of the De Pril transform
• On a class of approximative computation methods in the individual risk model
• On approximating distributions by approximating their De Pril transforms
• On error bounds for approximations to multivariate distributions.
• On multivariate infinitely divisible distributions
• Recursions for Distribution Functions and Stop-Loss Transforms
• Some results on moments and cumulants
• Super-Efficient Prediction Based on High-Quality Marker Information
• The De Pril transform of a compound \(\mathcal{R}_k\) distribution

Cited in

(4)

• Recursions for the individual risk model
• On error bounds for approximations to multivariate distributions.
• Recursive evaluation of aggregate claims distributions.
• Second-order subexponential sequences and the asymptotic behavior of their De Pril transform

This page was built for publication: The multivariate De Pril transform.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1584591)