Recursions for Distribution Functions and Stop-Loss Transforms

DOI10.1080/03461230050131876MaRDI QIDQ4258732zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

aggregate claimsrecursive evaluationstop-loss transformssummation operator

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(7)

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

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