Have a personal or library account? Click to login

Another approach to the evaluation of a certain multivariate compound distribution

Open Access
|Sep 2017

References

  1. [1] W. L. Briggs, The DFT: An Owners' Manual for the Discrete Fourier Transform, Siam, (1995).10.1137/1.9781611971514
  2. [2] H. Bühlmann, Numerical evaluation of the compound Poisson distribution: recursion or fast Fourier transform? Scand. Actuar. J., 1984(2) (1984), 116-126.10.1080/03461238.1984.10413759
  3. [3] P. Embrechts, R. Grübel and S. M. Pitts, Some applications of the fast Fourier transform algorithm in insurance mathematics. This paper is dedicated to Professor WS Jewell on the occasion of his 60th birthday, Stat. Neerl., 47(1) (1993), 59-75.10.1111/j.1467-9574.1993.tb01406.x
  4. [4] R. Grubel and R. Hermesmeier, Computation of compound distributions I: aliasing errors and exponential tilting, ASTIN Bull., 29(2) (1999), 197-214.10.2143/AST.29.2.504611
  5. [5] T. Jin and J. Ren, Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scand. Actuar. J., 2014(8) (2014), 729-752.10.1080/03461238.2012.762548
  6. [6] N.L. Johnson, S. Kotz and N. Balakrishnan, Discrete Multivariate Distributions, Wiley, New York, 1997.
  7. [7] S.A. Klugman, H.H. Panjer and G.E. Willmot, Loss Models: From Data to Decisions, 2nd edn., Wiley-Interscience, Hoboken, 2004.
  8. [8] H. H. Panjer, Recursive evaluation of a family of compound distributions, ASTIN Bull., 12(1) (1981), 22-26.10.1017/S0515036100006796
  9. [9] E.G. Robe-Voinea and R. Vernic, Fast Fourier Transform for Multivariate aggregate claims, Comput. Appl. Math., online first, DOI: 10.1007/s40314-016-0336-6 (2016).10.1007/s40314-016-0336-6(2016)
  10. [10] E.G. Robe-Voinea and R. Vernic, On a multivariate aggregate claims model with multivariate Poisson counting distribution, to appear in Proceedings of the Romanian Academy - Series A (2015).
  11. [11] E.G. Robe-Voinea and R. Vernic, On the recursive evaluation of a certain multivariate compound distribution, Acta Math. Appl. Sin-E, 32(4) (2016), 913920.10.1007/s10255-016-0612-7
  12. [12] B. Sundt, On multivariate Panjer recursions, ASTIN Bull., 29(1) (1999), 29-45.10.2143/AST.29.1.504605
  13. [13] B. Sundt and R. Vernic, Recursions for convolutions and compound distributions with insurance applications, EAA Lectures Notes, Springer-Verlag Berlin, 2009.
DOI: https://doi.org/10.1515/auom-2016-0061 | Journal eISSN: 1844-0835 | Journal ISSN: 1224-1784
Language: English
Page range: 339 - 349
Submitted on: Aug 1, 2015
Accepted on: Nov 30, 2015
Published on: Sep 21, 2017
Published by: Ovidius University of Constanta
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year

© 2017 Elena-Gratiela Robe-Voinea, Raluca Vernic, published by Ovidius University of Constanta
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.