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Further Results on Recursive Evaluation of Compound Distributions*

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt  and
William S. Jewell
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Abstract

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A recent result by Panjer provides a recursive algorithm for the compound distribution of aggregate claims when the counting law belongs to a special recursive family. In the present paper we first give a characterization of this recursive family, then describe some generalizations of Panjer's result.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 12 , Issue 1 , June 1981 , pp. 27 - 39
Copyright
Copyright © International Actuarial Association 1981

Footnotes

*

This research was supported by the Norwegian Research Council for Science and the Humanities, the Association of Norwegian Insurance Companies, and the Forschungs-institut für Mathematik, ETH Zürich.

References

Johnson, N. L. & Kotz, S. (1969). Discrete distributions. Houghton Miflin, Boston.Google Scholar
Panjer, H. H. (1981). Recursive evaluation of a family of compound distributions. Astin Bulletin 12.Google Scholar
Sverdrup, E. (1976). Programs on HP-25 desk calculator of mathematical functions for use in statistics. Statistical Research Report 1976-J. Institute of Mathematics. University of Oslo.Google Scholar