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Document Details : Title: A Recursive Procedure for Calculation of some Compound Distributions Author(s): HESSELAGER, Ole Journal: ASTIN Bulletin Volume: 24 Issue: 1 Date: May 1994 Pages: 19-32 DOI: 10.2143/AST.24.1.2005078 Abstract : We consider compound distributions where the counting distribution has the property that the ratio between successive probabilities may be written as the ratio of two polynominals. We derive a recursive algorithm for the compound distribution, which is more efficient than the one suggested by PANJER & WILLMOT (1982) and WILLMOT & PANJER (1987). We also derive a recursive algorithm for the moments of the compound distribution. Finally, we present an apphcation of the recursion to the problem of calculating the probability of ruin in a particular mixed Poisson process. |
