Further improved recursions for a class of compound Poisson distributions

Abstract

In the present paper we develop more efficient recursive formulae for the evaluation of the t -order cumulative function Γ t h ( x ) and the t -order tail probability Λ t h ( x ) of the class of compound Poisson distributions in the case where the derivative of the probability generating function of the claim amounts can be written as a ratio of two polynomials. These efficient recursions can be applied for the exact evaluation of the probability function (given by De Pril [De Pril, N., 1986a. Improved recursions for some compound Poisson distributions. Insurance Math. Econom. 5, 129–132]), distribution function, tail probability, stop-loss premiums and t -order moments of stop-loss transforms of compound Poisson distributions. Also, efficient recursive algorithms are given for the evaluation of higher-order moments and r-order factorial moments about any point for this class of compound Poisson distributions. Finally, several examples of discrete claim size distributions belonging to this class are also given.