Panjer recursion versus FFT for compound distributions
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s00186-008-0249-2.pdf
Reference24 articles.
1. Aue F, Kalkbrenner M (2006) LDA at work: Deutsche Bank’s approach to quantifying operational risk. J Operat Risk 1(4): 49–93
2. Bladt M (2005) A review of phase-type distributions and their use in risk theory. ASTIN Bull 35(1): 145–167
3. Bühlmann H (1984) Numerical evaluation of the compound Poisson distribution: recursion or fast Fourier transform. Scand Actuar J 2: 116–126
4. Cooley JW, Tukey JW (1965) An algorithm for the machine calculation of complex Fourier series. Math Comput 19: 297–301
5. Credit Suisse Financial Products: CreditRisk+: a credit risk management framework. Technical Document (1997)
Cited by 73 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. GEMAct: a Python package for non-life (re)insurance modeling;Annals of Actuarial Science;2024-02-14
2. A Bonus-Malus framework for cyber risk insurance and optimal cybersecurity provisioning;European Actuarial Journal;2023-11-08
3. Risk aggregation with FGM copulas;Insurance: Mathematics and Economics;2023-07
4. The role of risk measures in relating earthquake risks at building and portfolio levels;Earthquake Engineering & Structural Dynamics;2023-03-24
5. On a fuzzy discretization of continuous distributions with applications to risk models;Computational and Applied Mathematics;2023-01-29
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3