Zhang, Huiming; Liu, Yunxiao; Li, Bo - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 325-336
Probability generating function (p.g.f.) is a powerful tool to study discrete compound Poisson (DCP) distribution. By applying inverse Fourier transform of p.g.f., it is convenient to numerically calculate probability density and do parameter estimation. As an application to finance and...