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A Review of Panjer's Recursion Formula and its Applications

Published online by Cambridge University Press:  10 June 2011

D.C.M. Dickson
D.C.M. Dickson
Affiliation:
Centre for Actuarial Studies, The University of Melbourne, Victoria, 3010, Australia. Tel: + 61 3 8344 4727; Fax: + 61 3 8344 6899; E-mail: ddickson@cupid.ecom.unimelb.edu.ac
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Abstract

This paper reviews Panjer's recursion formula for evaluation of compound distributions and illustrates how it can be applied to life and general insurance problems.

Keywords

RecursionsCollective Risk ModelProbability of RuinIndividual Risk Model
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 1 , Issue 1 , 01 April 1995 , pp. 107 - 124
Copyright
Copyright © Institute and Faculty of Actuaries 1995

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References

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