Panjer recursion versus FFT for compound distributions

Embrechts, Paul ; Frei, Marco

In: Mathematical Methods of Operations Research, 2009, vol. 69, no. 3, p. 497-508

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    Summary
    Numerical evaluation of compound distributions is an important task in insurance mathematics and quantitative risk management. In practice, both recursive methods as well as transform based techniques are widely used. We give a survey of these tools, point out the respective merits and provide some numerical examples