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Recursions for Compound Distributions*

Published online by Cambridge University Press:  29 August 2014

H. H. Panjer  and
G. E. Willmot
H. H. Panjer
Affiliation:
University of Waterloo, Ontario, Canada
G. E. Willmot
Affiliation:
University of Waterloo, Ontario, Canada
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Various methods for developing recursive formulae for compound distributions have been reported recently by Panjer (1980, including discussion), Panjer (1981), Sundt and Jewell (1981) and Gerber (1982) for a class of claim frequency distributions and arbitrary claim amount distributions. The recursions are particularly useful for computational purposes since the number of calculations required to obtain the distribution function of total claims and related values such as net stop-loss premiums may be greatly reduced when compared with the usual method based on convolutions.

In this paper a broader class of claims frequency distributions is considered and methods for developing recursions for the corresponding compound distributions are examined. The methods make use of the Laplace transform of the density of the compound distribution.

Consider the class of claim frequency distributions which has the property that successive probabilities may be written as the ratio of two polynomials. For convenience we write the polynomials in terms of descending factorial powers. For obvious reasons, only distributions on the non-negative integers are considered.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 13 , Issue 1 , June 1982 , pp. 1 - 12
Copyright
Copyright © International Actuarial Association 1982

Footnotes

*

This research was supported by the Natural Sciences and Engineering Research Council of Canada. The authors are indebted to an anonymous referee for a number of comments that greatly improved this paper.

References

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