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Recursions for the Individual Risk Model

Recursions for the Individual Risk Model 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Recursions for the Individual Risk Model

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Publisher
Springer Journals
Copyright
Copyright © 2006 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-0329-0
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jan 1, 2006

References