Limiting tail behaviour of some discrete compound distributions

DOI10.1016/0167-6687(89)90055-3zbMath0686.62092OpenAlexW1982578709MaRDI QIDQ1262682

Gordon E. Willmot

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90055-3

zbMATH Keywords

probability functionqueuesasymptotic estimatesstop-loss premiumtailmixed Poissondiscrete compound distributionsDelaporte's distributioninsurance claims modelling

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS ⋮ On Posterior Probabilities and Moments in Mixed Poisson Processes ⋮ Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions ⋮ Ruin probabilities in the discrete time renewal risk model ⋮ Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model ⋮ A note on an integer valued time series model with Poisson–negative binomial marginal distribution ⋮ MODELLING ZERO-INFLATED COUNT DATA WITH A SPECIAL CASE OF THE GENERALISED POISSON DISTRIBUTION ⋮ On a stochastic order induced by an extension of Panjer's family of discrete distributions ⋮ On some compound distributions with Borel summands

Cites Work

• Approximations for stop-loss premiums
• Strategies for computation of compound distributions with two-sided severities
• Some asymptotic results useful in enumeration problems
• Functions of probability measures
• Asymptotic tail behaviour of Poisson mixtures by applications
• Survival models for heterogeneous populations derived from stable distributions
• Errata: Asymptotic Methods in Enumeration
• Regular variation of the tail of a subordinated probability distribution
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