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Evaluating Compound Generalized Poisson Distributions Recursively

Published online by Cambridge University Press:  29 August 2014

M. J. Goovaerts  and
R. Kaas
M. J. Goovaerts
Affiliation:
Amsterdam/Leuven
R. Kaas*
Affiliation:
Amsterdam/Leuven
*
University of Amsterdam, Institute of Actuarial Science and Econometrics, Jodenbreestraat 23, 1011 NH Amsterdam, The Netherlands.
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Abstract

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In this paper we give a recursive scheme, involving Panjer's recursion, to compute the distribution of a compound sum of integer claims, when the number of summands follows a Generalized Poisson distribution. Also, an elegant derivation is given for some basic properties of this counting distribution.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 21 , Issue 2 , November 1991 , pp. 193 - 198
Copyright
Copyright © International Actuarial Association 1991

References

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Panjer, H.H. (1981) Recursive evaluation of a family of compound distributions. AST1N Bulletin 12, 22–26.Google Scholar
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