Recursions for multivariate compound phase variables

Karl-Theodor Eisele

Insurance: Mathematics and Economics, 2008, vol. 42, issue 1, 65-72

Abstract: We show how to generalize the result given in [Eisele, K.-Th., 2006. Recursions for compound phase distributions. Insurance: Math. Econom. 38, 149-156] to the multivariate case, i.e. we find a Panjer-like recursion principle for the distribution of a multivariate compound phase variable. Recursion formulas and procedures for the bivariate case are given in detail. We give a possible application for agricultural risks and calculate concrete examples via a VB-program.

Date: 2008
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