Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

Rudolf Grübel and Renate Hermesmeier

ASTIN Bulletin, 2000, vol. 30, issue 2, 309-331

Abstract: The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require an initial discretization step if continuous distribution functions are of interest. We discuss the associated discretization error and show that it can often be reduced substantially by an extrapolation technique.

Date: 2000
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