Abstract
In this short note we provide an extension of a convolution identity for exchangeable dependent risks, which is motivated by an elegant proof of Panjer’s algorithm derived in Mikosch (2006).
Acknowledgement
I would like to thank Professor Thomas Mikosch for a kind clarifying note and comments.
Citation
Enkelejd Hashorva. "A CONVOLUTION IDENTITY FOR EXCHANGEABLE RISKS." Albanian J. Math. 5 (1) 41 - 43, 2011. https://doi.org/10.51286/albjm/1300195976
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