Evaluating Compound Generalized Poisson Distributions Recursively

Marc Goovaerts and R. Kaas

ASTIN Bulletin, 1991, vol. 21, issue 2, 193-198

Abstract: In this paper we give a recursive scheme, involving Panjer's recursion, to compute the distribution of a compound sum of integer claims, when the number of summands follows a Generalized Poisson distribution. Also, an elegant derivation is given for some basic properties of this counting distribution.

Date: 1991
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