On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform

Abstract

With the purpose of introducing dependence between different types of claims, multivariate collective models have recently gained a lot of attention. However, when it comes to the evaluation of the corresponding compound distribution, the problems increase with the dimensionality of the model. In this paper, we consider a multivariate collective model that generalizes a model already studied from the point of view of recursive and FFT evaluation of its distribution, and we extend the same study to the general model. With the intention to see which method works better for this general model, we compare the recursive method with the FFT technique, and emphasize the advantages and drawbacks of each one, based on numerical examples.