Panjer recursion versus FFT for compound distributions

Mathematical Methods of Operations Research

Volumn 69, Issue 3, 2009, Pages 497-508

  Embrechts, Paul ^a   Frei, Marco ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Compound distributions; Fast Fourier transform; Panjer recursion; Risk management

Indexed keywords

COMPOUND DISTRIBUTIONS; NUMERICAL EVALUATIONS; NUMERICAL EXAMPLE; PANJER RECURSION; QUANTITATIVE RISK; RECURSION; RECURSIVE METHODS;

FAST FOURIER TRANSFORMS; RISK ANALYSIS; RISK MANAGEMENT;

DECISION MAKING;

EID: 67349102662     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-008-0249-2     Document Type: Article

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