A recursive procedure for calculation of some mixed compound poisson distributions

Scandinavian Actuarial Journal

Volumn 1996, Issue 1, 1996, Pages 54-63

  Hesselager, Ole ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Beta; Generalized inverse gauss; Generalized pareto; Mixed poisson distribution; Recursive calculation

Indexed keywords

EID: 84919164679     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461238.1996.10413963     Document Type: Article

References (6)

1. Abramowitz, M. & Stegun, I. (1965). Handbook of tnathematical functions. Dover, New York.
2. Hesselager, O. (1994). A recursive procedure for calculation of some compound distributions. ASTIN Bulletin 24, 19-32.
3. Jerrgensen, B. (1982). Statistical properties of the generalized inverse Gaussian distribution. Springer Verlag, New York.
4. Panjer, H. H. (1981). Recursive evaluation of a family of compound distributions. ASTIN Bulletin 11, 22-26.
5. Wang, S. & Sobrero, M. (1994). Further results on Hesselager's recursive procedure for calculation of some compound distributions. ASTIN Bulletin 24, 160-166.
6. Willmot, G. (1993). On recursive evaluation of mixed Poisson probabilities and related quantities. Scand. Actuarial J. 1993, 114-133.