Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

DOI10.2143/AST.30.2.504638MaRDI QIDQ3372056zbMATH OpenOpenAlexFDO

Authors Renate Hermesmeier, Rudolf Grübel

Publication date 17 February 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.30.2.504638

zbMATH Keywords

discretizationruin probabilitiesacceleration of convergencetotal claim size distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• scientific article; zbMATH DE number 4013823
• Approximation and estimation of some compound distributions
• Discretizing distributions with exact moments: error estimate and convergence analysis
• On computational formulas for densities and moments of compound distributions
• Publication:4734608
• Computing tails of compound distributions using direct numerical integration
• Strategies for computation of compound distributions with two-sided severities
• Improved bounds for approximations to compound distributions
• Difference equation approaches in evaluation of compound distributions

Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 965557 (Why is no real title available?)
• Aspects of risk theory
• Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday

Cited in

(19)

• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• EXPANSION IN BELL POLYNOMIALS OF THE DISTRIBUTION OF THE TOTAL CLAIM AMOUNT WITH WEIBULL-DISTRIBUTED CLAIM SIZES
• Strategies for computation of compound distributions with two-sided severities
• Measuring marginal risk contributions in credit portfolios
• On the Use of Equispaced Discrete Distributions
• Panjer recursion versus FFT for compound distributions
• scientific article; zbMATH DE number 1116594 (Why is no real title available?)
• scientific article; zbMATH DE number 599629 (Why is no real title available?)
• Numerical algorithms for Panjer recursion by applying Bernstein approximation
• Backward difference recursions and infinite series representations in computational risk theory
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
• Error bounds in approximations of random sums using gamma-type operators
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• Comparison of approximations for compound Poisson processes
• De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
• Uniform error bounds for a continuous approximation of non-negative random variables
• Fast Fourier transform for multivariate aggregate claims

This page was built for publication: Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3372056)