Panjer recursion versus FFT for compound distributions

Unternehmensforschung - Tập 69 - Trang 497-508 - 2008
Paul Embrechts1, Marco Frei2
1Department of Mathematics, ETH Zurich, Zurich, Switzerland
2Seminar for Statistics, ETH Zurich, Zurich, Switzerland

Tóm tắt

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide some numerical examples.

Tài liệu tham khảo

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