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On Multivariate Panjer Recursions

Citations

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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. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
  3. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2017. "Actuarial Applications and Estimation of Extended CreditRisk+," Risks, MDPI, vol. 5(2), pages 1-29, March.
  4. Sundt, Bjorn, 2003. "Some recursions for moments of compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 487-496, December.
  5. Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami, 2017. "A state dependent reinsurance model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 170-181.
  6. Badila, E.S. & Boxma, O.J. & Resing, J.A.C., 2015. "Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 48-61.
  7. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
  8. Cordelia Rudolph & Uwe Schmock, 2020. "Multivariate Collective Risk Model: Dependent Claim Numbers and Panjer’s Recursion," Risks, MDPI, vol. 8(2), pages 1-31, May.
  9. Sundt, Bjorn, 2000. "The multivariate De Pril transform," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 123-136, August.
  10. Ivanovs, Jevgenijs & Boxma, Onno, 2015. "A bivariate risk model with mutual deficit coverage," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 126-134.
  11. Vernic, Raluca, 2018. "On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 184-193.
  12. Eisele, Karl-Theodor, 2008. "Recursions for multivariate compound phase variables," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 65-72, February.
  13. Pablo Azcue & Nora Muler & Zbigniew Palmowski, 2016. "Optimal dividend payments for a two-dimensional insurance risk process," Papers 1603.07019, arXiv.org, revised Apr 2018.
  14. Ren, Jiandong, 2012. "A multivariate aggregate loss model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 402-408.
  15. Cai, Jun & Li, Haijun, 2005. "Multivariate risk model of phase type," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 137-152, April.
  16. 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.
  17. Eisele, Karl-Theodor, 2006. "Recursions for compound phase distributions," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 149-156, February.
  18. Sundt, Bjorn, 2000. "On error bounds for approximations to multivariate distributions," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 137-144, August.
  19. Sundt, Bjorn, 2003. "Some recursions for moments of n-fold convolutions," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 479-486, December.
  20. 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.
  21. 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.
  22. Pavel V. Shevchenko, 2010. "Calculation of aggregate loss distributions," Papers 1008.1108, arXiv.org.
  23. Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
  24. Jonas Hirz & Uwe Schmock & Pavel V. Shevchenko, 2015. "Actuarial Applications and Estimation of Extended~CreditRisk$^+$," Papers 1505.04757, arXiv.org, revised Apr 2017.
  25. Raluca Vernic, 2018. "On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform," Risks, MDPI, vol. 6(3), pages 1-14, August.
  26. Cai, Jun & Li, Haijun, 2007. "Dependence properties and bounds for ruin probabilities in multivariate compound risk models," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 757-773, April.
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