Grübel, R.; Hermesmeier, R.: Computation of compound distributions i: Aliasing errors and exponential tilting. In: ASTIN Bulletin 29 (1999), Nr. 2, S. 197-214. DOI:
https://doi.org/10.2143/AST.29.2.504611
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. © 1999, International Actuarial Association. All rights reserved.
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License of this version: |
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Publication type: |
Article |
Publishing status: |
publishedVersion |
Publication date: |
1999 |
Keywords english: |
aliasing, change of measure, Fourier transformation, random sums, ruin probabilities, Total claim size distribution
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DDC: |
360 | Soziale Probleme, Sozialdienste, Versicherungen, 330 | Wirtschaft
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