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On Multivariate Vernic Recursions

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt
Bjørn Sundt*
Affiliation:
University of Bergen
*
Vital Forsikring ASA, P.O. Box 250 N-1326 Lysaker, Norway
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Abstract

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In the present paper we extend a recursive algorithm developed by Vernic (1999) for compound distributions with bivariate counting distribution and univariate severity distributions to more general multivariate counting distributions.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 1 , May 2000 , pp. 111 - 122
Copyright
Copyright © International Actuarial Association 2000

References

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