Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

DOI10.2143/AST.30.2.504638zbMATH Open1106.62347OpenAlexW2124111076MaRDI QIDQ3372056FDOQ3372056

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

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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)

Cites Work

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• Aspects of risk theory
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• 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 (18)

• Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform
• Measuring marginal risk contributions in credit portfolios
• De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
• Fast Fourier transform for multivariate aggregate claims
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Uniform error bounds for a continuous approximation of non-negative random variables
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• Title not available (Why is that?)
• Error bounds in approximations of random sums using gamma-type operators
• EXPANSION IN BELL POLYNOMIALS OF THE DISTRIBUTION OF THE TOTAL CLAIM AMOUNT WITH WEIBULL-DISTRIBUTED CLAIM SIZES
• Panjer recursion versus FFT for compound distributions
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• Strategies for computation of compound distributions with two-sided severities
• COMPARISON OF APPROXIMATIONS FOR COMPOUND POISSON PROCESSES
• On the Use of Equispaced Discrete Distributions
• Title not available (Why is that?)
• Numerical algorithms for Panjer recursion by applying Bernstein approximation

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