English, Article edition: Further improved recursions for a class of compound Poisson distributions Chadjiconstantinidis, Stathis; Pitselis, Georgios

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Further improved recursions for a class of compound Poisson distributions
Author
  • Chadjiconstantinidis, Stathis
  • Pitselis, Georgios
Physical Description
  • article
Notes
  • In the present paper we develop more efficient recursive formulae for the evaluation of the t-order cumulative function [Gamma]th(x) and the t-order tail probability [Lambda]th(x) of the class of compound Poisson distributions in the case where the derivative of the probability generating function of the claim amounts can be written as a ratio of two polynomials. These efficient recursions can be applied for the exact evaluation of the probability function (given by De Pril [De Pril, N., 1986a. Improved recursions for some compound Poisson distributions. Insurance Math. Econom. 5, 129-132]), distribution function, tail probability, stop-loss premiums and t-order moments of stop-loss transforms of compound Poisson distributions. Also, efficient recursive algorithms are given for the evaluation of higher-order moments and r-order factorial moments about any point for this class of compound Poisson distributions. Finally, several examples of discrete claim size distributions belonging to this class are also given.
  • t-order cumulative distribution function t-order tail probability Stop-loss transforms
  • RePEc:eee:insuma:v:44:y:2009:i:2:p:278-286
Language
  • English
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