Error bounds for stop-loss premiums calculated with the Fast Fourier Transform
From MaRDI portal
Publication:3795118
DOI10.1080/03461238.1986.10413798zbMath0649.62100OpenAlexW2030936886MaRDI QIDQ3795118
Publication date: 1986
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1986.10413798
fast Fourier transformerror boundsapproximation errorcompound Poisson distributionstop-loss premiums
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for trigonometric approximation and interpolation (65T40) Probabilistic methods, stochastic differential equations (65C99)
Related Items (3)
A numerical approach to utility functions in risk theory ⋮ Discussion on W. Hürlimann: error bounds for stop-loss premiums calculated with the Fast Fourier Transform ⋮ Negative claim amounts, Bessel functions, linear programming and Miller's algorithm
This page was built for publication: Error bounds for stop-loss premiums calculated with the Fast Fourier Transform