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On some Extensions of Panjer's Class of Counting Distributions1

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt
Bjørn Sundt*
Affiliation:
The Wyatt Company &University of Oslo
*
The Wyatt Company AS, P.O.Box 1508 Vika, N-0117 Oslo, Norway, e-mail: sundt@math.uio.no.
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Abstract

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In this paper we discuss some properties of counting distributions whose discrete density satisfies a recursion in the form

with pn = 0 for n < 0 and present an algorithm for recursive evaluation of corresponding compound distributions.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 1 , May 1992 , pp. 61 - 80
Copyright
Copyright © International Actuarial Association 1992

Footnotes

1

This paper is dedicated to Professor W.S. Jewell on the occasion of his 60th birthday July 2, 1992.

References

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