Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
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Publication:3339141
DOI10.1080/03461238.1984.10413759zbMath0547.62069OpenAlexW2039184792MaRDI QIDQ3339141
Publication date: 1984
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1984.10413759
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for trigonometric approximation and interpolation (65T40) Probabilistic methods, stochastic differential equations (65C99)
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