Fast Fourier Transform for multivariate aggregate claims
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/article/10.1007/s40314-016-0336-6/fulltext.html
Reference15 articles.
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3. Embrechts P, Frei M (2009) Panjer recursion versus FFT for compound distributions. Math Methods Oper Res 69(3):497–508
4. Grubel R, Hermesmeier R (1999) Computation of compound distributions I: aliasing errors and exponential tilting. ASTIN Bull 29(2):197–214
5. Grubel R, Hermesmeier R (2000) Computation of compound distributions II: discretization errors and Richardson extrapolation. ASTIN Bull 30(2):309–331
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