panjer
버전 1.1.0.0 (2.92 KB) 작성자:
Ben Petschel
Approximate the distribution of a compound random variable by Panjer recursion.
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.
인용 양식
Ben Petschel (2024). panjer (https://www.mathworks.com/matlabcentral/fileexchange/23313-panjer), MATLAB Central File Exchange. 검색됨 .
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