Panjer recursion: Difference between revisions

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The '''Panjer recursion''' is an [[algorithm]] to compute the [[probability distribution]] of a compound [[random variable]]

: <math>S = \sum_{i=1}^N X_i.</math>.

where both <math>N</math> and <math>X_i</math> are [[stochastic]].

It was introduced in a paper of [[Harry Panjer]] <ref> {{cite journal|last=Panjer|first=Harry H.|year=1981|title=Recursive evaluation of a family of compound distributions.| journal=ASTIN Bulletin|volume=12|issue=1|pages=22–26|publisher=[[International Actuarial Association]]|url=http://www.casact.org/library/astin/vol12no1/22.pdf|format=PDF}}</ref>. It is heavily used in [[actuarial science]].