Finding efficient recursions for risk aggregation by computer algebra

DOI10.1016/J.CAM.2008.01.025zbMATH Open1153.91592arXiv0707.3028OpenAlexW2113551577MaRDI QIDQ953412FDOQ953412

Authors: Stefan Gerhold, Richard Warnung 

Publication date: 20 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the claim size be algebraic. The probability generating function of the claim number is supposed to be from the rather general class of D-finite functions.

Full work available at URL: https://arxiv.org/abs/0707.3028

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zbMATH Keywords

collective risk modelcomputer algebrarisk aggregationlinear recursions\(D\)-finite functions

Mathematics Subject Classification ID

Symbolic computation and algebraic computation (68W30) Distribution theory (60E99)

Cites Work

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Cited In (4)

• Recursions for the individual risk model
• A generalization of Panjer's recursion and numerically stable risk aggregation
• Minimal faithful upper-triangular matrix representations for solvable Lie algebras
• Numerical algorithms for Panjer recursion by applying Bernstein approximation

Uses Software

• gfun
• GeneratingFunctions

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