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faculty: "FEB" and publication year: "2006"
| Authors | J.L.M. Dhaene, C. Ribas, R.I. Vernic | | Title | Recursions for the individual model |
| Journal | Acta Mathematicae Applicatae Sinica |
| Volume | 22 |
| Year | 2006 |
| Issue | 4 |
| Pages | 631-652 |
| ISSN | 01689673 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | In the actuarial literature, several exact and approximative recursive methods
have been proposed for calculating the distribution of a sum of mutually independent
compound Bernoulli distributed random variables. In this paper, we give an
overview of these methods. We compare their performance with the straightforward
convolution technique by counting the number of dot operations involved in
each method. It turns out that in many practicle situations, the recursive methods
outperform the convolution method. |
| Document type | Article |
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