Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641722 | Journal of Computational and Applied Mathematics | 2009 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Stefan Gerhold, Richard Warnung,