Hostname: page-component-78c5997874-t5tsf Total loading time: 0 Render date: 2024-11-10T16:07:13.046Z Has data issue: false hasContentIssue false
  • English
  • Français

On Multivariate Vernic Recursions

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt
Bjørn Sundt*
Affiliation:
University of Bergen
*
Vital Forsikring ASA, P.O. Box 250 N-1326 Lysaker, Norway
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In the present paper we extend a recursive algorithm developed by Vernic (1999) for compound distributions with bivariate counting distribution and univariate severity distributions to more general multivariate counting distributions.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 1 , May 2000 , pp. 111 - 122
Copyright
Copyright © International Actuarial Association 2000

References

Ambagaspitiya, R.S. (1999). On the distributions of two classes of correlated aggregate claims. Insurance: Mathematics and Economics 24, 301–308.Google Scholar
Dhaene, J. & Sundt, B. (1998). On approximating distributions by approximating their De Pril transforms. Scandinavian Actuarial Journal, 1–23.CrossRefGoogle Scholar
Dhaene, J., Willmot, G. & Sundt, B. (1999). Recursions for distribution functions and their stop-loss transforms. Scandinavian Actuarial Journal, 52–65.CrossRefGoogle Scholar
Hesselager, O. (1996). Recursions for certain bivariate counting distributions and their compound distributions. ASTIN Bulletin 26, 35–52.CrossRefGoogle Scholar
Panjer, H.H. (1981). Recursive evaluation of a family of compound distributions. ASTIN Bulletin 12, 22–26.CrossRefGoogle Scholar
Sundt, B. (1992). On some extensions of Panjer's class of counting distributions. ASTIN Bulletin 22, 61–80.CrossRefGoogle Scholar
Sundt, B. (1998). The multivariate De Pril transform. To appear in Insurance: Mathematics and Economics.Google Scholar
Sundt, B. (1999). On multivariate Panjer recursions. ASTIN Bulletin 29, 29–45.CrossRefGoogle Scholar
Sundt, B., Dhaene, J. & De Pril, N. (1998). Some results on moments and cumulants. Scandinavian Actuarial Journal, 24–40.CrossRefGoogle Scholar
Sundt, B. & Jewell, W.S. (1981). Further results on recursive evaluation of compound distributions. ASTIN Bulletin 12, 27–39.CrossRefGoogle Scholar
Teicher, H. (1954). On the multivariate Poisson distribution. Skandinavisk Aktuarietidskrift 37, 1–9.Google Scholar
Vernic, R. (1999). Recursive evaluation of some bivariate compound distributions. ASTIN Bulletin 29, 315–325.CrossRefGoogle Scholar