panjer

Version 1.1.0.0 (2.92 KB) by Ben Petschel
Approximate the distribution of a compound random variable by Panjer recursion.
5.0
(1)
2.8K Downloads
Updated 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-');

See help for more details.

Cite As

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

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.1.0.0

updated comments
1.0.0.0