caa a22 4500 388071117 CHVBK 20180307125149.0 cr unu---uuuuu 161130e199911 xx s 000 0 eng 10.2143/AST.29.2.504611 doi S051503610001254X pii (NATIONALLICENCE)cambridge-10.2143/AST.29.2.504611 Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting [Elektronische Daten] Numerical evaluation of compound distributions is one of the central numerical tasks in insurance mathematics. Two widely used techniques are Panjer recursion and transform methods. Many authors have pointed out that aliasing errors imply the need to consider the whole distribution if transform methods are used, a potential drawback especially for heavy-tailed distributions. We investigate the magnitude of aliasing errors and show that this problem can be solved by a suitable change of measure. Copyright © International Actuarial Association 1999 Total claim size distribution nationallicence ruin probabilities nationallicence random sums nationallicence Fourier transformation nationallicence aliasing nationallicence change of measure nationallicence Grübel Rudolf Universität Hannover Hermesmeier Renate Universität Hannover ASTIN Bulletin Cambridge University Press 29/2(1999-11), 197-214 0515-0361 29:2<197 1999 29 ASB https://doi.org/10.2143/AST.29.2.504611 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2143/AST.29.2.504611 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Grübel Rudolf Universität Hannover NATIONALLICENCE 700 1- Hermesmeier Renate Universität Hannover NATIONALLICENCE 773 0- ASTIN Bulletin Cambridge University Press 29/2(1999-11), 197-214 0515-0361 29:2<197 1999 29 ASB CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge