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Recursive Evaluation of a Family of Compound Distributions
Company: Astin Bulletin
Year Of Publication: 1980
Month Of Publication: January
Pages: 22-26
Download Count: 5
View Count: 1393
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-22-2010
Publisher: Administrator
Summary
In this paper, a recursive definition of the distribution of total claims is developed for a family of claim number distributions and arbitrary claim amount distributions When the clam1 amount is discrete, the recursive definition can be used to compute the distribution of total claims without the use of convolutions. This can reduce the number of required computations by several orders of magnitude for sufficiently large portfolios.
(volume 12, number 1)
Author(s)
Panjer, Harry H. Sign in to follow this author
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