Difference equation approaches in evaluation of compound distributions

DOI10.1016/0167-6687(87)90006-0zbMath0613.62020MaRDI QIDQ1819487

Harry H. Panjer, Gordon E. Willmot

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 distribution; Pareto distribution; inverse Gaussian; contagious frequency distributions; Neyman class; severity distributions

Mathematics Subject Classification ID

60E05: Probability distributions: general theory

39A10: Additive difference equations

62E99: Statistical distribution theory

Related Items

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, 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

Cites Work

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