On Multivariate Panjer Recursions

Bjørn Sundt

ASTIN Bulletin, 1999, vol. 29, issue 1, 29-45

Abstract: In the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector. We discuss situations within insurance where such models could be applicable, and consider some special cases of the general algorithm. Finally we deduce from the algorithm a multivariate extension of De Pril's (1985) recursion for convolutions.

Date: 1999
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