Eisele, Karl-Theodor - In: Insurance: Mathematics and Economics 42 (2008) 1, pp. 65-72
We show how to generalize the result given in [Eisele, K.-Th., 2006. Recursions for compound phase distributions. Insurance: Math. Econom. 38, 149-156] to the multivariate case, i.e. we find a Panjer-like recursion principle for the distribution of a multivariate compound phase variable....