TITLE

EFFICIENT AND PRECISE COMPUTATION OF CONVOLUTIONS: APPLYING FFT TO HEAVY TAILED DISTRIBUTIONS

AUTHOR(S)
Schaller, P.; Temnov, G.
PUB. DATE
April 2008
SOURCE
Computational Methods in Applied Mathematics;2008, Vol. 8 Issue 2, p187
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In this paper we estimate and analyze the errors associated with the use of the discrete (fast) Fourier transformation for the numerical calculation of convolutions. We suggest and compare methods to reduce these errors without loosing the computational efficiency of the calculation scheme. A typical field of application of our findings is the calculation of aggregate loss distributions for, e.g., losses from insurance cases or operational risk losses in the finance industry.
ACCESSION #
33967228

 

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