Abstract
In the present paper we generalize Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector We discuss situations within insurance where such models could be applicable, and consider some special cases of the general algorithm. Finally we deduce from the algorithm a multivariate extension of De Pril's (1985) recursion for convolutions.
Volume
29:1
Page
29-46
Year
1999
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Aggregation Methods
Panjer
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin