Evaluating Compound Generalized Poisson Distributions Recursively

Abstract
In this paper we give a recursive scheme, involving Panjer's recursion, to compute the distribution of a compound sum of integer claims, when the number of summands follows a Generalized Poisson distribution. Also, an elegant derivation is given for some basic properties of this counting distribution.
Volume
21:2
Page
193-198
Year
1991
Categories
Financial and Statistical Methods
Loss Distributions
Frequency
Financial and Statistical Methods
Aggregation Methods
Panjer
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Bulletin
Authors
Marc Jean Goovaerts
Rob Kaas