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Panjer recursion versus FFT for compound distributions

✍ Scribed by Paul Embrechts; Marco Frei

Publisher: Springer
Year: 2008
Tongue: English
Weight: 273 KB
Volume: 69
Category: Article
ISSN: 0340-9422
DOI: 10.1007/s00186-008-0249-2

No coin nor oath required. For personal study only.

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This is an expository presentation of various topics in insurance mathematics. The scope is not encyclopedic but rather narrows down the treatment to models and methods are (or could be) used to solve practical actuarial problems: what is an appropriate premium, what is an adequate reserve, what par