Lesson plan
Panjer recursion
The Panjer recursion is an algorithm to compute the probability distribution approximation of a compound random variable S = \sum_{i=1}^N X_i\, where both N\, and X_i\, are random variables and of special types. In more general cases the distribution of S is a compound distribution. The recursion for the special cases considered was introduced in a paper by Harry Panjer (Distinguished Emeritus Professor, University of Waterloo ). It is heavily used in actuarial science (see also systemic risk).
Article summary
The Panjer recursion is an algorithm to compute the probability distribution approximation of a compound random variable S = \sum_{i=1}^N X_i\, where both N\, and X_i\, are random variables and of special types. In more general cases the distribution of S is a compound distribution. The recursion for the special cases considered was introduced in a paper by Harry Panjer (Distinguished Emeritus Professor, University of Waterloo ). It is heavily used in actuarial science (see also systemic risk).
Key claims
No claims recorded.
Discussion questions
- Summarise the article in your own words. Which single claim would you verify first, and why?
- Which claim in this article is most likely to be revised as the sources update? How would you check its current status?
- If two sources disagreed about one of these facts, what would you need in order to trust one over the other?
Bibliography
No sources recorded.
Key claims and bibliography are generated from the same tracked claims and sources as the article page.