Recursions for compound phase distributions

DOI10.1016/j.insmatheco.2005.08.002zbMath1101.62098MaRDI QIDQ2507946

Karl-Theodor Eisele

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.08.002

zbMATH Keywords

phase-type distributions; recursions for compound variables

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60E10: Characteristic functions; other transforms

62E10: Characterization and structure theory of statistical distributions

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Cites Work

• Recursive evaluation of aggregate claims distributions.
• Some recursions for moments of compound distributions.
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• An Extension of Panjer's Recursion
• Unnamed Item