Recursions for Distribution Functions and Stop-Loss Transforms

DOI10.1080/03461230050131876zbMATH Open0922.62110OpenAlexW2165534982MaRDI QIDQ4258732FDOQ4258732

Authors: J. Dhaene, Gordon Willmont, Bjørn Sundt 

Publication date: 14 September 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230050131876

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zbMATH Keywords

aggregate claimssummation operatorrecursive evaluationstop-loss transforms

Mathematics Subject Classification ID

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

Cites Work

• On a class of approximative computation methods in the individual risk model

Cited In (6)

• Recursions for the individual risk model
• Inequalities for the De Pril approximation to the distribution of the number of policies with claims
• The multivariate De Pril transform.
• Further improved recursions for a class of compound Poisson distributions
• Recursive evaluation of aggregate claims distributions.
• Backward difference recursions and infinite series representations in computational risk theory

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