Recursive Evaluation of Some Bivariate Compound Distributions

Abstract
In this paper we consider compound distributions where the counting distribution is a bivariate distribution with the probability function (function not available) that satisfies a recursion in the form (not available) We present an algorithm for recursive evaluation of the corresponding compound distributions and some examples of distributions in this class. KEYWORDS Recursions; compound distributions; bivariate distributions, distribution, bivariate Negative Binomial, bivariate Poisson. Trinomial
Volume
29:2
Page
315-326
Year
1999
Categories
Financial and Statistical Methods
Loss Distributions
Frequency
Financial and Statistical Methods
Aggregation Methods
Panjer
Publications
ASTIN Bulletin
Authors
Raluca Vernic