کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4641722 1341317 2009 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Finding efficient recursions for risk aggregation by computer algebra
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Finding efficient recursions for risk aggregation by computer algebra
چکیده انگلیسی

We derive recursions for the probability distribution 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 DD-finite functions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 223, Issue 1, 1 January 2009, Pages 499–507
نویسندگان
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