panjer

Approximate the distribution of a compound random variable by Panjer recursion.

Example: plot distribution of compound Poisson/Lognormal

n = 1e4;
xmax = 100;
lam = 10; mu = 0; sig = 1;
[gl,gu,xp,GL,GU]=panjer(@(x)logncdf(x,mu,sig),0,lam,xmax/n,n);
plot(xp,GL,'b-',xp,GU,'r-');

See help for more details.