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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Recursive calculation of compound distributions
 Sekera, Michal ; Mazurová, Lucie (advisor) ; Pešta, Michal (referee)
The aim of this work is the calculation of compound distributions by using the algorithm known as the Panjer recursion. This algorithm is limited to dis- crete distributions and the (a, b, 0) and (a, b, 1) classes of distributions. The thesis shows which distributions are members of these classes. The thesis then descri- bes the discretization of continuous distributions by using the rounding method and the method of local moments matching; everything is explained on exam- ples. These methods are then applied to the calculation of the premium for mo- del of excess of loss reinsurance with reinstatements (XL-reinsurance with re- instatements), and the calculating the solvency capital requirement. Numerical illustrations are included. 1
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