Approximation and estimation of some compound distributions (Q1069255): Difference between revisions
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Revision as of 19:22, 19 February 2024
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| Language | Label | Description | Also known as |
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| English | Approximation and estimation of some compound distributions |
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Approximation and estimation of some compound distributions (English)
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1985
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With \(p_ n\) as the probability of the occurrence of n claims and F(x) as the distribution of claim size the function \[ 1- G(x)=\sum^{\infty}_{n=1}p_ n\{1-F^{(n)}(x)\} \] is used for approximations of some classes of claim processes based on asymptotic results by \textit{P. Embrechts}, \textit{M. Maejima} and \textit{E. Omey}, Ann. Probab. 12, 561-570 (1984; Zbl 0537.60087) and others. The results are applied to the Poisson case, the Pascal case and the compound Poisson model.
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estimation
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applications to premium calculation principles
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subexponential distribution
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total claim amount
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approximations
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claim processes
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Poisson case
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Pascal case
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compound Poisson model
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