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Document Details : Title: On Multivariate Panjer Recursions Author(s): SUNDT, B. Journal: ASTIN Bulletin Volume: 29 Issue: 1 Date: May 1999 Pages: 29-47 DOI: 10.2143/AST.29.1.504605 Abstract : In the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector. We discuss situations within insurance where such models could be applicable, and consider some special cases of the general algorithm. Finally we deduce from the algorithm a multivariate extension of De Pril's (1985) recursion for convolutions. |
