Panjer recursion versus FFT for compound distributions

Paul Embrechts () and Marco Frei ()

Mathematical Methods of Operations Research, 2009, vol. 69, issue 3, 497-508

Abstract: Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide some numerical examples. Copyright Springer-Verlag 2009

Keywords: Panjer recursion; Fast Fourier transform; Compound distributions; Risk management (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (21)

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DOI: 10.1007/s00186-008-0249-2

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