Details
| Original language | English |
|---|---|
| Pages (from-to) | 309-331 |
| Number of pages | 23 |
| Journal | Astin bulletin |
| Volume | 30 |
| Issue number | 2 |
| Publication status | Published - 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.
Keywords
- acceleration of convergence, discretization, ruin probabilities, Total claim size distribution
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Astin bulletin, Vol. 30, No. 2, 11.2000, p. 309-331.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Computation of Compound Distributions II
T2 - Discretization Errors and Richardson Extrapolation
AU - Grübel, Rudolf
AU - Hermesmeier, Renate
PY - 2000/11
Y1 - 2000/11
N2 - 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.
AB - 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.
KW - acceleration of convergence
KW - discretization
KW - ruin probabilities
KW - Total claim size distribution
UR - http://www.scopus.com/inward/record.url?scp=85011463391&partnerID=8YFLogxK
U2 - 10.2143/AST.30.2.504638
DO - 10.2143/AST.30.2.504638
M3 - Article
AN - SCOPUS:85011463391
VL - 30
SP - 309
EP - 331
JO - Astin bulletin
JF - Astin bulletin
SN - 0515-0361
IS - 2
ER -