panjer

Versione 1.1.0.0 (2,92 KB) da Ben Petschel

Approximate the distribution of a compound random variable by Panjer recursion.

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2,8K download

Aggiornato 17 mar 2009

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Example: plot distribution of compound Poisson/Lognormal

n = 1e4;
xmax = 100;
lam = 10; mu = 0; sig = 1;
[gl,gu,xp,GL,GU]=panjer(@(x)logncdf(x,mu,sig),0,lam,xmax/n,n);
plot(xp,GL,'b-',xp,GU,'r-');

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Cita come

Ben Petschel (2024). panjer (https://www.mathworks.com/matlabcentral/fileexchange/23313-panjer), MATLAB Central File Exchange. Recuperato aprile 23, 2024.

Compatibilità della release di MATLAB

Creato con R2007b

Compatibile con qualsiasi release

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Windows macOS Linux

Categorie

AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions > Continuous Distributions > Normal Distribution >

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panjer.m

Versione	Pubblicato	Note della release
1.1.0.0	17 mar 2009	updated comments	Scarica
1.0.0.0	17 mar 2009		Scarica