Heckman–Meyers Algorithm
Stuart A. Klugman · Wiley StatsRef: Statistics Reference Online · 2014
Abstract The collective risk model for aggregate losses states that total losses for a period comprise a random number of random payments where the payments have identical distributions and all variables are independent. Evaluating probabilities for this model can be difficult. The Heckman–Meyers Algorithm is one of several approaches to this problem. While computationally challenging, it is accurate and in many situations is extremely fast.