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Panjer recursion versus FFT for compound distributions

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Abstract

Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide some numerical examples.

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Authors and Affiliations

  1. Department of Mathematics, ETH Zurich, 8092, Zurich, Switzerland

    Paul Embrechts

  2. Seminar for Statistics, ETH Zurich, 8092, Zurich, Switzerland

    Marco Frei

Authors
  1. Paul Embrechts
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  2. Marco Frei
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Correspondence to Marco Frei.

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Embrechts, P., Frei, M. Panjer recursion versus FFT for compound distributions. Math Meth Oper Res 69, 497–508 (2009). https://doi.org/10.1007/s00186-008-0249-2

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  • DOI: https://doi.org/10.1007/s00186-008-0249-2

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