Computing compound distributions faster
January 1997
Article
pp 23-34.
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The use of Panjer's algorithm has meanwhile become a widespread standard technique for actuaries (Kuon et al., 1955). Panjer's recursion formula is used for the evaluation of compound distributions and can be applied to life and general insurance problems. The discrete version of Panjer's recursion formula is often applied to continuous distributions by discretizing the
Keywords
Automatically Extracted Terms
- method
- panjer
- recursion
- function
- projection method
- distribution
- approximation
- point
- claim
- projection
- al ./insurance mathematics
- recursion formula
- den lseger
- interval
- claim amount distribution
- accuracy
- integral
- claim size
- section
- mathematics
