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Computational Methods in Applied Mathematics

Editor-in-Chief: Carstensen, Carsten

Managing Editor: Matus, Piotr


IMPACT FACTOR 2017: 0.658

CiteScore 2017: 1.05

SCImago Journal Rank (SJR) 2017: 1.291
Source Normalized Impact per Paper (SNIP) 2017: 0.893

Mathematical Citation Quotient (MCQ) 2017: 0.76

Online
ISSN
1609-9389
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Volume 8, Issue 2

Issues

Efficient And Precise Computation Of Convolutions: Applying Fft To Heavy Tailed Distributions

P. SCHALLER
G. TEMNOV
  • Vienna University of Technology, Institute for Mathematical Methods in Economics, Wiedner Haupt-straße 8-10/105-1, A-1040 Vienna, Austria.
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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 convo-lutions. 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.

Keywords: compound probability distributions; characteristic functions; discrete Fourier transform; exponential window.

About the article

Received: 2008-02-17

Revised: 2008-04-26

Accepted: 2008-05-30

Published in Print:


Citation Information: Computational Methods in Applied Mathematics Comput. Methods Appl. Math., Volume 8, Issue 2, Pages 187–200, ISSN (Online) 1609-9389, ISSN (Print) 1609-4840, DOI: https://doi.org/10.2478/cmam-2008-0013.

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© Institute of Mathematics, NAS of Belarus. This article is distributed under the terms of the Creative Commons Attribution Non-Commercial License, which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited. BY-NC-ND 4.0

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