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ArticleDifference equation approaches in evaluation of compound distributions

Gordon E. Willmot1987

Article1987

Difference equation approaches in evaluation of compound distributions

Gordon E. Willmot · Harry H. Panjer

39 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

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References

1981Recursive Evaluation of a Family of Compound Distributions 1981Further Results on Recursive Evaluation of Compound Distributions 1983A property of the generalized inverse Gaussian distribution with some applications

Cited by

1994A Recursive Procedure for Calculation of some Compound Distributions 2007Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation 1999Recursive Evaluation of Some Bivariate Compound Distributions

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Year1987

Typearticle

Published1987-01-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations39

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(87)90006-0

openalex_workW2044967912

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