Finding efficient recursions for risk aggregation by computer algebra

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:223

Article

Gerhold, Stefan¹  Warnung, Richard¹ 

[1] Vienna Univ Technol, A-1040 Vienna, Austria

关键词: Risk aggregation;    Collective risk model;    Computer algebra;    D-finite functions;    Linear recursions;   

DOI  :  10.1016/j.cam.2008.01.025

来源: Elsevier

【 摘 要 】

We derive recursions for the probability distributions of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the claim size be algebraic. The probability generating function of the claim number is supposed to be from the rather general class of D-finite functions. (C) 2008 Elsevier B.V. All rights reserved.

【 授权许可】

Free