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Activity Number:
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382
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Type:
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Contributed
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Date/Time:
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Tuesday, August 4, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #304867 |
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Title:
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Panjer's Recursion for Evaluation of Compound Negative Binomial
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Author(s):
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Kumer P. Das*+
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Companies:
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Lamar University
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Address:
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7930 Buttercup Ln, Beaumont, TX, 77713,
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Keywords:
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Aggrgate Claims ; Negative Binomial Distribution ; Mixed gamma Loss Distribution ; Panjer's recursion
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Abstract:
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Panjer's recursion formula is used for the evaluation of compound distributions. The use of this algorithm has become a widespread standard technique for life and general insurance problems. This study reviews Panjer's recursion formula for evaluation of compound negative binomial distributions. For gamma and mixture of gamma distribution the theory has been developed so that the software R can be directly applicable. The accuracy of the method used in this study is better and the computation time is faster.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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