Article ID Journal Published Year Pages File Type
4641722 Journal of Computational and Applied Mathematics 2009 9 Pages PDF
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
, ,