Recursions for Convolutions and Compound Distributions with Insurance Applications

By B. Sundt, Raluca Vernic. 2009

86 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/74b911ca4db90da79d01d2db79d545376bc91e90

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Mélina Mailhot
2. Hélène Cossette
3. É. Marceau
4. Yiqing Chen

In Economics and Econometrics

1. Mélina Mailhot
2. Hélène Cossette
3. É. Marceau

In Management Science and Operations Research

1. Hélène Cossette
2. É. Marceau
3. Mélina Mailhot
4. Yiqing Chen

Citations in the corpus

• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2012, methodology): “The values of ξk (k ∈ N) can be computed with a recursive aggregationmethod (see e.g. Klugman et al., 2008 and Sundt and Vernic, 2009).”
• SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES (2019, unknown): “We refer the reader to the comprehensive book by Sundt and Vernic (2009) for extensive details about these recursive calculations of convolutions initiated by De Pril (1989) and Dhaene and Vandebroek (1995).”