The Panjer recursion is an algorithm to compute the probability distribution approximation of a compound random variable S = ∑ i = 1 N X i {\displaystyle S=\sum _{i=1}^{N}X_{i}\,} where both N {\displaystyle N\,} and X i {\displaystyle X_{i}\,} are random variables and of special types. In more general cases the distribution of S is a compound distribution.
The Panjer recursion is an algorithm to compute the probability distribution approximation of a compound random variable S = ∑ i = 1 N X i {\displaystyle S=\sum _{i=1}^{N}X_{i}\,} where both N {\displaystyle N\,} and X i {\displaystyle X_{i}\,} are random variables and of special types. In more general cases the distribution of S is a compound distribution.
Source: Wikipedia "Panjer recursion" · CC BY-SA 4.0
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