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zbMath0641.62058MaRDI QIDQ3782629

Jürgen Bertram, Manfred Feilmeier

Publication date: 1987

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fast Fourier transform Monte Carlo simulation error estimations collective model recursion formulae examples individual model risk theory pension funds nonproportional reinsurance aggregate claims distribution group insurance normal power procedures sparse-vector algorithms stop-loss inequalities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

Optimization of risk processes ⋮ 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 ⋮ Panjer recursion versus FFT for compound distributions ⋮ Optimization methods for compound Poisson risk processes

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