A generalization of Panjer’s recursion and numerically stable risk aggregation

摘要

Portfolio credit risk, CreditRisk + , Operational risk, Collective risk model, Extended negative binomial distribution, Extended logarithmic distribution, Compound distribution, Extended Panjer recursion, Numerical stability, De Pril’s recursion, Poisson mixture distribution, Generalized tempered stable distribution, (Generalized) inverse Gaussian distribution, Reciprocal generalized inverse Gaussian distribution, Inverse gamma distribution, Severities with mixed support, 91B30, 65Q05, 62P05, C63, C16,