Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday

P. Embrechts, R. Grübel and S. M. Pitts

Statistica Neerlandica, 1993, vol. 47, issue 1, 59-75

Abstract: Transform methods, together with the fast Fourier transform algorithm, can be used to compute various quantities of interest in risk theory and insurance mathematics. These include the total claim size distribution at a fixed time, the mean and variance of the claim size process as a function of time in the Sparre‐Andersen model, and the probability of ruin. The associated discretization error can be reduced by applying Richardson's deferred approach to the limit. A theorem is given that puts the use of this technique on a mathematical basis in the context of compound distributions.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9574.1993.tb01406.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:47:y:1993:i:1:p:59-75

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402

Access Statistics for this article

Statistica Neerlandica is currently edited by Miroslav Ristic, Marijtje van Duijn and Nan van Geloven

More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().