A general recursive formula for the discrete stable and Linnik distributions and a family of extensions

Authors: Cossette, HélèneLandriault, DavidMarceau, Étienne
Abstract: The purpose of this paper is to present a general method to compute recursively the probability mass function of the discrete stable, discrete Linnik and discrete Mittag-Le­ er distribution. The recursive computation method is based on the representation of these distributions as compound distributions and on the Panjer algorithm (see Panjer (1981), Klugman et al. (1998) or Rolski et al. (1999)). Another distribution is also introduced and various extensions are proposed.
Document Type: Rapport de recherche
Issue Date: 1 July 2001
Open Access Date: 18 August 2017
Permalink: http://hdl.handle.net/20.500.11794/14921
Collection:Rapports de recherche

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