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Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

Published online by Cambridge University Press:  29 August 2014

Rudolf Grübel  and
Renate Hermesmeier
Rudolf Grübel*
Affiliation:
Universität Hannover
Renate Hermesmeier*
Affiliation:
Universität Hannover
*
Institut für Mathematische Stochastik, Universität HannoverPostfach 60 09, D-30060 Hannover, E-mail: rgrubel@stochastik.uni-hannover.de
Institut für Mathematische Stochastik, Universität HannoverPostfach 60 09, D-30060 Hannover, E-mail: rgrubel@stochastik.uni-hannover.de
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Abstract

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The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and algorithms based on transforms, both apply to lattice-type distributions only and therefore require an initial discretization step if continuous distribution functions are of interest. We discuss the associated discretization error and show that it can often be reduced substantially by an extrapolation technique.

Keywords

Total claim size distributionruin probabilitiesdiscretizationacceleration of convergence
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 2 , November 2000 , pp. 309 - 331
Copyright
Copyright © International Actuarial Association 2000

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