On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform
With the purpose of introducing dependence between different types of claims, multivariate collective models have recently gained a lot of attention. However, when it comes to the evaluation of the corresponding compound distribution, the problems increase with the dimensionality of the model. In th...
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-08-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/6/3/87 |