scholarly journals Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting

1999 ◽  
Vol 29 (2) ◽  
pp. 197-214 ◽  
Author(s):  
Rudolf Grübel ◽  
Renate Hermesmeier
Keyword(s):  
Numerical Evaluation ◽  
Change Of Measure ◽  
Exponential Tilting ◽  
Transform Methods ◽  
Compound Distributions ◽  
Heavy Tailed Distributions ◽  
Panjer Recursion ◽  
Heavy Tailed ◽  
Suitable Change

AbstractNumerical 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.

scholarly journals The Skew Generalized Secant Hyperbolic Family

2016 ◽  
Vol 35 (4) ◽  
Author(s):  
Matthias Fischer
Keyword(s):  
Exchange Rate ◽  
Moment Generating Function ◽  
Foreign Exchange Rate ◽  
Parametric Models ◽  
Rate Data ◽  
Exponential Tilting ◽  
Moment Ratio ◽  
Distribution Family ◽  
The Moment ◽  
New Distribution

We introduce a skewness parameter into Vaughan’s (2002) generalized secant hyperbolic (GSH) distribution by means of exponential tilting and develop some properties of the new distribution family. In particular, the moment-generating function is derived which ensures the existence of all moments. Finally, the flexibility of our distribution is compared to similar parametric models by means of moment-ratio plots and application to foreign exchange rate data.

Poisson approximation by constrained exponential tilting

2003 ◽  
Vol 61 (1) ◽  
pp. 83-89 ◽  
Author(s):  
Steven J. Kathman ◽  
George R. Terrell
Keyword(s):  
Poisson Approximation ◽  
Exponential Tilting

Exponential tilting in Bayesian asymptotics

Biometrika ◽  
2016 ◽  
Vol 103 (2) ◽  
pp. 337-349 ◽  
Author(s):  
S. A. Kharroubi ◽  
T. J. Sweeting
Keyword(s):  
Exponential Tilting

Normalized Exponential Tilting

2007 ◽  
Vol 11 (3) ◽  
pp. 89-99 ◽  
Author(s):  
Shaun Wang
Keyword(s):  
Exponential Tilting
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