Recursions for the individual risk model
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Publication:861402
DOI10.1007/S10255-006-0329-0zbMATH Open1104.62112OpenAlexW2062877076MaRDI QIDQ861402FDOQ861402
Authors: J. Dhaene, Carmen Ribas, Raluca Vernic 
Publication date: 29 January 2007
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-006-0329-0
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)
Cites Work
- Title not available (Why is that?)
- On a class of approximative computation methods in the individual risk model
- Recursive evaluation of aggregate claims distributions.
- Error bounds for the compound Poisson approximation
- How to (and how not to) compute stop-loss premiums in practice
- Approximation of aggregate claims distributions by compound Poisson distributions
- On the computation of the aggregate claims distribution in the individual life model with bivariate dependencies
- Some results on moments and cumulants
- The multivariate De Pril transform.
- On error bounds for approximations to multivariate distributions.
- Recursions for the individual model
- Title not available (Why is that?)
- Improved approximations for the aggregate claims distribution of a life insurance portfolio
- On approximating distributions by approximating their De Pril transforms
- A generalisation of the De Pril transform
- Recursions for Distribution Functions and Stop-Loss Transforms
Cited In (13)
- Finding efficient recursions for risk aggregation by computer algebra
- Recursive methods for a multi-dimensional risk process with common shocks
- Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits
- Inequalities for the De Pril approximation to the distribution of the number of policies with claims
- Comparing convolutions with Dhaene-Vandebroek and De Pril's recursions from a computational point of view
- Recursions for the individual model
- Delta operators, power series distributions and recursions for compound sums
- Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
- Recursions for Convolutions and Compound Distributions with Insurance Applications
- Backward difference recursions and infinite series representations in computational risk theory
- On the recursive evaluation of a certain multivariate compound distribution
- Numerical algorithms for Panjer recursion by applying Bernstein approximation
- Waveform relaxation for fractional sub-diffusion equations
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