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In this paper, we extend to a multivariate setting the bivariate model A introduced by Jin and Ren in 2014 (Recursions and fast Fourier transforms for a new bivariate aggregate claims model,… Continue Reading
Abstract In this work, we consider the multivariate aggregate model introduced in , model that takes into account the case when different types of claims affect in the same time an insurance… Continue Reading
The Fast Fourier Transform provides an alternative approximate method to evaluate the distribution of aggregate losses in insurance and finance. The efficiency of this method has already been proved… Continue Reading