Year: 1999
Type: article
Abstract: Numerical evaluation of compound distributions is one of the central numerical tasks in insurance mathematics. Two widely used techniques are Panjer recursion and transform methods. Many authors have pointed out that aliasing errors imply the need to consider the whole distribution if transform methods are used, a potential drawback especially for heavy-tailed distributions. We investigate the magnitude of aliasing errors and show that this problem can be solved by a suitable change of measure.
Source: Astin Bulletin
Authors: Rudolf Grübel, Renate Hermesmeier
Institution: Leibniz University Hannover
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2124229737