Abstract
A simple recursion for the n-fold convolution of an arithmetic distribution with itself is developed and its relation to Panjer's algorithm for compound distributions is shown.
Keywords: Recursion, convolution, arithmetic distribution.
Volume
15:2
Page
135-140
Year
1985
Categories
Financial and Statistical Methods
Aggregation Methods
Panjer
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
