Computing compound distributions faster!

Insurance: Mathematics and Economics

Volumn 20, Issue 1, 1997, Pages 23-34

  Den Iseger, P W ^a   Smith, M A J ^a   Dekker, R ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Compound distributions; Recursions

Indexed keywords

EID: 0031161411     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(97)00002-4     Document Type: Article

References (11)

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5. GAUSS™ (1994). Aptech Systems Inc., Maple Valley, USA.
6. Kuon, S., M. Radtke and A. Reich (1993). An appropriate way to switch from the individual risk model to the collective one, ASTIN Bulletin 23, 23-54.
7. Lutek, B.W. and H.H. Panjer (1983). Practical aspects of stop-loss calculations. Insurance: Mathematics and Economics 2, 159-177.
8. Panjer, H.H. (1981). Recursive evaluation of a family of compound distributions. ASTIN Bulletin 12, 22-26.
9. Smith, M.A.J. (1997). On the availability of failure prone systems, Ph.D. thesis, Econometric Institute, Erasmus University Rotterdam.
10. Sundt, B. and W.S. Jewell (1981). Further results on recursive evaluation of compound distributions. Astin Bulletin 12, 27-39.
11. Xie, M. (1989). On the solution of renewal type integral equations. Communications in Statistics B 18, 281-293.