Transform Methods

2015 ◽  
pp. 149-208
Author(s):  
Matthew N. O. Sadiku ◽  
Sudarshan R. Nelatury
Keyword(s):  
Transform Methods

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.

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