Comparison of Methods for Evaluation of the n-fold Convolution of an Arithmetic Distribution

Abstract
In the present paper we compare De Pril’s algorithm for recursive evaluation of the n-fold convolution of an arithmetic distribution with more traditional methods and evaluation by De Pril transforms. The comparison is performed by counting the number of elementary algebraic operations.

Keywords: n-fold convolutions.
Volume
Toyko
Year
1999
Categories
Financial and Statistical Methods
Aggregation Methods
Financial and Statistical Methods
Loss Distributions
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Colloquium
Authors
David C M Dickson
Bjørn Sundt