Title of article :
Finding efficient recursions for risk aggregation by computer algebra
Author/Authors :
Gerhold، نويسنده , , Stefan and Warnung، نويسنده , , Richard، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Pages :
9
From page :
499
To page :
507
Abstract :
We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the claim size be algebraic. The probability generating function of the claim number is supposed to be from the rather general class of D -finite functions.
Keywords :
Risk aggregation , computer algebra , Linear recursions , D -finite functions , Collective Risk Model
Journal title :
Journal of Computational and Applied Mathematics
Serial Year :
2009
Journal title :
Journal of Computational and Applied Mathematics
Record number :
1554722
Link To Document :
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