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Panjers recursion sign in to follow this
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A Generalization of Panjer's Recursion and Numerically Stable Risk Aggregation
Year Of Publication: 2010
Month Of Publication: March
Pages: 41
Download Count: 6
View Count: 1745
Comment Num: 0
Language: English
Who Can Read: Free
Date: 3-24-2010
Publisher: Administrator
Summary
Portfolio credit risk models as well as models for operational risk
can often be treated analogously to the collective risk model coming from insurance.
Applying the classical Panjer recursion in the collective risk model
can lead to numerical instabilities, for instance if the claim number distribution
is extended negative binomial or extended logarithmic. We present a generalization
of Panjer’s recursion that leads to numerically stable algorithms. The
algorithm can be applied to the collective risk model, where the claim number
follows, for example, a Poisson distribution mixed over a generalized tempered
stable distribution with exponent in (0, 1). De Pril’s recursion can be generalized
in the same vein. We also present an analogue of our method for the
collective model with a severity distribution having mixed suppor
Author(s)
Schmock, Uwe Sign in to follow this author
Warnung, Richard Sign in to follow this author
Gerhold, Stefan Sign in to follow this author
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