IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v29y1999i02p315-325_01.html
   My bibliography  Save this article

Recursive Evaluation of Some Bivariate Compound Distributions

Author

Listed:
  • Vernic, Raluca

Abstract

In this paper we consider compound distributions where the counting distribution is a bivariate distribution with the probability function (Pn1,n2)n1,n2≥0 that satisfies a recursion in the form We present an algorithm for recursive evaluation of the corresponding compound distributions and some examples of distributions in this class.

Suggested Citation

  • Vernic, Raluca, 1999. "Recursive Evaluation of Some Bivariate Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 315-325, November.
    • Handle: RePEc:cup:astinb:v:29:y:1999:i:02:p:315-325_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100012617/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    2. Yuki Itoh, 2009. "Recovery Process Model for Two Companies," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 287-331, December.
    3. Eisele, Karl-Theodor, 2008. "Recursions for multivariate compound phase variables," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 65-72, February.
    4. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2017. "Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 151-174, March.
    5. Anastasiadis, Simon & Chukova, Stefanka, 2012. "Multivariate insurance models: An overview," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 222-227.
    6. Gathy, Maude & Lefèvre, Claude, 2010. "On the Lagrangian Katz family of distributions as a claim frequency model," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 76-83, August.
    7. Philippe Picard & Claude Lefèvre & Ibrahim Coulibaly, 2003. "Multirisks Model and Finite-Time Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 5(3), pages 337-353, September.
    8. Paul Embrechts & Marco Frei, 2009. "Panjer recursion versus FFT for compound distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 497-508, July.
    9. Pavel V. Shevchenko, 2010. "Calculation of aggregate loss distributions," Papers 1008.1108, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:29:y:1999:i:02:p:315-325_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.