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On Multivariate Vernic Recursions

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  • Sundt, Bjørn

Abstract

In the present paper we extend a recursive algorithm developed by Vernic (1999) for compound distributions with bivariate counting distribution and univariate severity distributions to more general multivariate counting distributions.

Suggested Citation

  • Sundt, Bjørn, 2000. "On Multivariate Vernic Recursions," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 111-122, May.
    • Handle: RePEc:cup:astinb:v:30:y:2000:i:01:p:111-122_00
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    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. Sundt, Bjorn, 2000. "The multivariate De Pril transform," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 123-136, August.
    3. 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.
    4. Eisele, Karl-Theodor, 2008. "Recursions for multivariate compound phase variables," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 65-72, February.
    5. 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.

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