In the actuarial literature, several exact and approximative recursive methods have been proposed for calculating the distribution of a sum of mutually independent compound Bernoulli distributed random variables. In t...In the actuarial literature, several exact and approximative recursive methods have been proposed for calculating the distribution of a sum of mutually independent compound Bernoulli distributed random variables. In this paper, we give an overview of these methods. We compare their performance with the straight- forward convolution technique by counting the number of dot operations involved in each method. It turns out that in many practicle situations, the recursive methods outperform the convolution method.展开更多
基金Support by the Onderzoeksfonds K.U.Leuven(GOA/02:Actuarile,financile en statistische aspecten van afhankelijkheden in vcrzekerings-en financile portefeuilles)Support by the Dutch Organization for Scientific Research(No.NWO 048.031.2003.001)
文摘In the actuarial literature, several exact and approximative recursive methods have been proposed for calculating the distribution of a sum of mutually independent compound Bernoulli distributed random variables. In this paper, we give an overview of these methods. We compare their performance with the straight- forward convolution technique by counting the number of dot operations involved in each method. It turns out that in many practicle situations, the recursive methods outperform the convolution method.
