On the Evaluation of the Distribution of a General Multivariate Collective Model: Recursions versus Fast Fourier Transform
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DOI: 10.3390/risks6030087
Abstract: 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… read more here.
Keywords: collective model; evaluation distribution; model; multivariate collective ... See more keywords