Recursions for the Individual Risk Model

Autor:	Carmen Ribas, Jan Dhaene, Raluca Vernic
Přispěvatelé:	Actuarial Science & Mathematical Finance (ASE, FEB)
Rok vydání:	2006
Předmět:	Discrete mathematics Bernoulli's principle Distribution (mathematics) Applied Mathematics Applied mathematics Individual risk Random variable Mathematics Convolution
Zdroj:	Acta Mathematicae Applicatae Sinica. English series, 22(4), 543-564. Springer Verlag
ISSN:	1618-3932 0168-9673
DOI:	10.1007/s10255-006-0329-0
Popis:	In the actuarial literature, several exact and approximative recursive methods have been proposed for calculating the distribution of a sum of mutually independent compound Bernoulli distributed random variables. In this paper, we give an overview of these methods. We compare their performance with the straightforward convolution technique by counting the number of dot operations involved in each method. It turns out that in many practicle situations, the recursive methods outperform the convolution method. © 2006 Springer-Verlag Berlin Heidelberg. ispartof: Acta Mathematicae Applicatae Sinica vol:22 issue:4 pages:543-564 status: published
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::98a995491daba96088e791836dbdf078 https://doi.org/10.1007/s10255-006-0329-0 Zobrazit plný text záznamu Full text from SpringerLink