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.
Citation
Kumar Pial Das. Shamim Sarker. Norou Diawara. "Further Review of Panjer's Recursion for Evaluation of Compound Negative Binomial Distribution Using R." Missouri J. Math. Sci. 23 (2) 182 - 191, October 2011. https://doi.org/10.35834/mjms/1321045146
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