An Extension of Panjer's Recursion

By Klaus T. Hess, A. Liewald, Klaus D. Schmidt. ASTIN Bulletin: The Journal of the International Actuarial Association, 2002

49 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/aa3b4c72edd493d47cafcb507820bbe45f9c6782

How researchers see this paper

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

In Economics and Econometrics

1. Damiano Brigo
2. Andrea Pallavicini
3. Roberto Torresetti
4. Daniel Sevcovic

In Management Science and Operations Research

1. Roberto Torresetti
2. Damiano Brigo
3. Andrea Pallavicini

Citations in the corpus

• Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2007, methodology): “S0 := E0 [ ∫ Tb 0 D(0, t)dL̄t ] E0 [∑b i=1 δiD(0, Ti)(1− C̄Ti) ] (11)”