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Further Results on Recursive Evaluation of Compound Distributions

Author

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  • Sundt, Bjørn
  • Jewell, William S.

Abstract

A recent result by Panjer provides a recursive algorithm for the compound distribution of aggregate claims when the counting law belongs to a special recursive family. In the present paper we first give a characterization of this recursive family, then describe some generalizations of Panjer's result.

Suggested Citation

  • Sundt, Bjørn & Jewell, William S., 1981. "Further Results on Recursive Evaluation of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 27-39, June.
    • Handle: RePEc:cup:astinb:v:12:y:1981:i:01:p:27-39_00
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