Design Using Transform Methods

Author(s):  
Gregory Starr
Keyword(s):  
2013 ◽  
Vol 4 (2) ◽  
pp. 41-50 ◽  
Author(s):  
A. J. Rajeswari Joe ◽  
Rama N

1999 ◽  
Vol 29 (2) ◽  
pp. 197-214 ◽  
Author(s):  
Rudolf Grübel ◽  
Renate Hermesmeier

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.


1979 ◽  
Vol 9 (8) ◽  
pp. 446-447
Author(s):  
Eginhard J. Muth ◽  
Lokenath Debnath

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