Approximation of aggregate claims distributions by compound Poisson distributions (Q1079911): Difference between revisions
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| Property / cites work: Error bounds for the compound Poisson approximation / rank | |||
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| Property / cites work: On the Accuracy of Approximation of Distributions of Sums of Independent Random Variables—Which are Nonzero with a Small Probability—By Means of Accompanying Laws / rank | |||
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Latest revision as of 14:25, 17 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of aggregate claims distributions by compound Poisson distributions |
scientific article |
Statements
Approximation of aggregate claims distributions by compound Poisson distributions (English)
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1985
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Error estimates are given for the approximation of the individual model of risk theory by compound Poisson distributions. Theoretical portfolios and one life portfolio from practice demonstrate the quality of the estimates.
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aggregate claims distribution
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error bounds
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normal approximation
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van Beek's Berry-Esseen bound
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individual model
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risk theory
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compound Poisson distributions
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