Recursions and fast Fourier transforms for a new bivariate aggregate claims model

DOI10.1080/03461238.2012.762548zbMath1401.91151OpenAlexW1969112517MaRDI QIDQ4576877

Jiandong Ren, Tao Jin

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2012.762548

zbMATH Keywords

change of measurecompound distributionsaliasing errorPanjer's recursions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses, Fast Fourier transform for multivariate aggregate claims, ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION, Valuing variable annuity guarantees on multiple assets, On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution, Polynomial approximations for bivariate aggregate claims amount probability distributions, On the recursive evaluation of a certain multivariate compound distribution, On the evaluation of risk models with bivariate integer-valued time series

Cites Work

• Panjer recursion versus FFT for compound distributions
• On the distributions of two classes of correlated aggregate claims
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Recursions for Convolutions and Compound Distributions with Insurance Applications
• Multivariate distributions for the life lengths of components of a system sharing a common environment
• A recursive procedure for calculation of some mixed compound poisson distributions
• Hierarchical Insurance Claims Modeling
• Loss Models
• Dependence measures for extreme value analyses
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