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Speedy convolution algorithms and Panjer recursions for phase-type distributions

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  • Hipp, Christian

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  • Hipp, Christian, 2006. "Speedy convolution algorithms and Panjer recursions for phase-type distributions," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 176-188, February.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:176-188
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    References listed on IDEAS

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    1. De Pril, Nelson, 1986. "Improved recursions for some compound poisson distributions," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 129-132, April.
    2. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Cited by:

    1. Eisele, Karl-Theodor, 2008. "Recursions for multivariate compound phase variables," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 65-72, February.
    2. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
    3. Alessandra Carleo & Mariafortuna Pietroluongo, 2014. "On matrix-exponential distributions in risk theory," Discussion Papers 2_2014, CRISEI, University of Naples "Parthenope", Italy.
    4. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB School of Economics Working Papers 2014/310, University of Barcelona School of Economics.

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