Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Rudolf Grübel
  • Renate Hermesmeier

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OriginalspracheEnglisch
Seiten (von - bis)309-331
Seitenumfang23
FachzeitschriftAstin bulletin
Jahrgang30
Ausgabenummer2
PublikationsstatusVeröffentlicht - Nov. 2000

Abstract

The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require an initial discretization step if continuous distribution functions are of interest. We discuss the associated discretization error and show that it can often be reduced substantially by an extrapolation technique.

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Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation. / Grübel, Rudolf; Hermesmeier, Renate.
in: Astin bulletin, Jahrgang 30, Nr. 2, 11.2000, S. 309-331.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Grübel R, Hermesmeier R. Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation. Astin bulletin. 2000 Nov;30(2):309-331. doi: 10.2143/AST.30.2.504638
Grübel, Rudolf ; Hermesmeier, Renate. / Computation of Compound Distributions II : Discretization Errors and Richardson Extrapolation. in: Astin bulletin. 2000 ; Jahrgang 30, Nr. 2. S. 309-331.
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