Further Results on Hesselager's Recursive Procedure for Calculation of Some Compound Distributions

Link
https://www.casact.org/sites/default/files/database/astin_vol24no2_161.pdf
Abstract
The recursive algorithm of HESSELAGER (1994) is extended to a more general class of counting distributions, which includes SUNDT'S (1992) class as well as all the mixed Poisson distributions discussed by WILLMOT (1993). KEYWORDS Compound distributions; recursions; mixed Poissons; Sichel; Beta; Generalized Pareto; Inverse Gamma.
Volume
24:1
Page
161-166
Year
1994
Categories
Financial and Statistical Methods
Loss Distributions
Frequency
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability Transforms
Publications
ASTIN Bulletin
Authors
Monica Sobrero
Shaun Wang