Numerical algorithms for Panjer recursion by applying Bernstein approximation

DOI10.1007/S11464-012-0230-5zbMath1280.91094OpenAlexW1987193423MaRDI QIDQ384623

Si-yuan Xie, Jing-Ping Yang, Shu Lin Zhou

Publication date: 28 November 2013

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-012-0230-5

zbMATH Keywords

excess-of-loss reinsuranceBernstein approximationcompound risk modelPanjer recursion

Mathematics Subject Classification ID

Approximation by polynomials (41A10) Distribution theory (60E99)

Cites Work

• Unnamed Item
• Bivariate recursive equations on excess-of-loss reinsurance
• Finding efficient recursions for risk aggregation by computer algebra
• Computing compound distributions faster!
• Speedy convolution algorithms and Panjer recursions for phase-type distributions
• Recursive equations for compound distribution with the severity distribution of the mixed type
• Solving Ordinary Differential Equations I
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS

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