Difference equation approaches in evaluation of compound distributions

DOI10.1016/0167-6687(87)90006-0MaRDI QIDQ1819487zbMATH OpenOpenAlexFDO

Authors Gordon E. Willmot, Harry H. Panjer

Publication date 1987

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

Full work available at URL https://doi.org/10.1016/0167-6687(87)90006-0

zbMATH Keywords

compound distributioncontagious frequency distributionsinverse GaussianNeyman classPareto distributionseverity distributions

Mathematics Subject Classification ID

Additive difference equations (39A10) Probability distributions: general theory (60E05) Statistical distribution theory (62E99)

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Cites work

• A Generalized Class of Contagious Distributions
• A property of the generalized inverse Gaussian distribution with some applications
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• Inference for Sichel's Compound Poisson Distribution
• The numerical evaluation of the aggregate claim density function via integral equations

Cited in

(17)

• Strategies for computation of compound distributions with two-sided severities
• General quadratic distance methods for discrete distributions definable recursively.
• Recursive evaluation of aggregate claims distributions.
• On computational formulas for densities and moments of compound distributions
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Negative claim amounts, Bessel functions, linear programming and Miller's algorithm
• A family of discrete distributions
• On a stochastic order induced by an extension of Panjer's family of discrete distributions
• A generalization of Panjer's recursion and numerically stable risk aggregation
• On some properties of the ``apparent length distribution and a compound distribution
• Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
• On the Use of Equispaced Discrete Distributions
• On a family of counting distributions and recursions for related compound distributions
• COMPOUND RANDOM VARIABLES
• On Mixed and Compound Mixed Poisson Distributions
• On the distributions of two classes of multiple dependent aggregate claims
• Finding efficient recursions for risk aggregation by computer algebra

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