Finding Efficient Recursions for Risk Aggregation by Computer Algebra

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dc.creatorGerhold, S.
dc.creatorWarnung, R.
dc.date2007-07-20
dc.date.accessioned2026-07-07T08:19:23Z
dc.date.available2026-07-07T08:19:23Z
dc.descriptionWe derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for computation in linear time. This efficiency is bought by the assumption that the probability generating function of the claim size be algebraic. The probability generating function of the claim number is supposed to be from the rather general class of D-finite functions.
dc.identifierhttps://arxiv.org/abs/0707.3028
dc.identifierhttp://arxiv.org/abs/0707.3028
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/134743
dc.subjectProbability
dc.subject91B30
dc.titleFinding Efficient Recursions for Risk Aggregation by Computer Algebra
dc.typetext

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