Speedy convolution algorithms and Panjer recursions for phase-type distributions

DOI10.1016/j.insmatheco.2005.08.009zbMath1133.91448MaRDI QIDQ2507950

Christian Hipp

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.2005.08.009

Mathematics Subject Classification ID

Related Items

Shewhart Schemes with Variable Sampling Intervals Revisited, Numerical algorithms for Panjer recursion by applying Bernstein approximation, Recursions for multivariate compound phase variables, Finding efficient recursions for risk aggregation by computer algebra, Panjer recursion versus FFT for compound distributions, Ruin probability and time of ruin with a proportional reinsurance threshold strategy, Performance analysis with truncated heavy-tailed distributions, Recursions for compound phase distributions, Matrix-Form Recursions for a Family of Compound Distributions

Cites Work

• Improved recursions for some compound Poisson distributions
• Computational methods in risk theory: a matrix-algorithmic approach
• Recursive evaluation of aggregate claims distributions.
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• EXPERIMENTAL EVIDENCE CONCERNING CONTAGIOUS DISTRIBUTIONS IN ECOLOGY
• Unnamed Item
• Unnamed Item