Further Review of Panjer's Recursion for Evaluation of Compound Negative Binomial Distribution Using R

Abstract

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 and extends Panjer's recursion formula for evaluation of compound negative binomial distributions. For gamma and a mixture of gamma distributions, 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.