Cite

[1] W. L. Briggs, The DFT: An Owners' Manual for the Discrete Fourier Transform, Siam, (1995).10.1137/1.9781611971514Search in Google Scholar

[2] H. Bühlmann, Numerical evaluation of the compound Poisson distribution: recursion or fast Fourier transform? Scand. Actuar. J., 1984(2) (1984), 116-126.10.1080/03461238.1984.10413759Open DOISearch in Google Scholar

[3] P. Embrechts, R. Grübel and S. M. Pitts, Some applications of the fast Fourier transform algorithm in insurance mathematics. This paper is dedicated to Professor WS Jewell on the occasion of his 60th birthday, Stat. Neerl., 47(1) (1993), 59-75.10.1111/j.1467-9574.1993.tb01406.xOpen DOISearch in Google Scholar

[4] R. Grubel and R. Hermesmeier, Computation of compound distributions I: aliasing errors and exponential tilting, ASTIN Bull., 29(2) (1999), 197-214.10.2143/AST.29.2.504611Open DOISearch in Google Scholar

[5] T. Jin and J. Ren, Recursions and fast Fourier transforms for a new bivariate aggregate claims model, Scand. Actuar. J., 2014(8) (2014), 729-752.10.1080/03461238.2012.762548Search in Google Scholar

[6] N.L. Johnson, S. Kotz and N. Balakrishnan, Discrete Multivariate Distributions, Wiley, New York, 1997.Search in Google Scholar

[7] S.A. Klugman, H.H. Panjer and G.E. Willmot, Loss Models: From Data to Decisions, 2nd edn., Wiley-Interscience, Hoboken, 2004.Search in Google Scholar

[8] H. H. Panjer, Recursive evaluation of a family of compound distributions, ASTIN Bull., 12(1) (1981), 22-26.10.1017/S0515036100006796Search in Google Scholar

[9] E.G. Robe-Voinea and R. Vernic, Fast Fourier Transform for Multivariate aggregate claims, Comput. Appl. Math., online first, DOI: 10.1007/s40314-016-0336-6 (2016).10.1007/s40314-016-0336-6(2016)Open DOISearch in Google Scholar

[10] E.G. Robe-Voinea and R. Vernic, On a multivariate aggregate claims model with multivariate Poisson counting distribution, to appear in Proceedings of the Romanian Academy - Series A (2015).Search in Google Scholar

[11] E.G. Robe-Voinea and R. Vernic, On the recursive evaluation of a certain multivariate compound distribution, Acta Math. Appl. Sin-E, 32(4) (2016), 913920.10.1007/s10255-016-0612-7Search in Google Scholar

[12] B. Sundt, On multivariate Panjer recursions, ASTIN Bull., 29(1) (1999), 29-45.10.2143/AST.29.1.504605Open DOISearch in Google Scholar

[13] B. Sundt and R. Vernic, Recursions for convolutions and compound distributions with insurance applications, EAA Lectures Notes, Springer-Verlag Berlin, 2009.Search in Google Scholar

eISSN:
1844-0835
Language:
English
Publication timeframe:
Volume Open
Journal Subjects:
Mathematics, General Mathematics