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Line 21: The Panjer recursion makes use of this iterative relationship to specify a recursive way of constructing the probability distribution of ''S''. In the following <math>W_N(x)\,</math> denotes the [[probability generating function]] of ''N'': for this see the table in [[(a,b,0) class of distributions]]. In the case of claim number is known, please note the ''De Pril'' algorithm.<ref>Vose Software Risk Wiki: http://www.vosesoftware.com/riskwiki/Aggregatemodeling-DePrilsrecursivemethod.php</ref>. This algorithm is suitable to compute the sum distribution of <math>n</math> discrete [[random variables]].<ref>{{Cite journal \| doi = 10.1080/03461238.1988.10413837\| title = Improved approximations for the aggregate claims distribution of a life insurance portfolio\| journal = Scandinavian Actuarial Journal\| volume = 1988\| issue = 1–3\| pages = 61–68\| year = 1988\| last1 = De Pril \| first1 = N. }}</ref> == Recursion ==

Panjer recursion: Difference between revisions