A Gaussian Exponential Approximation to Some Compound Poisson Distributions

DOI10.2143/AST.33.1.1038MaRDI QIDQ4661672zbMATH OpenOpenAlexFDO

Authors Werner Hürlimann

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.33.1.1038

zbMATH Keywords

analytical approximationcompound Poisson distributionexponential densityGauss densitymean excess functionstop-loss transformthreshold parameter

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• scientific article; zbMATH DE number 3591262 (Why is no real title available?)
• Limited expected value comparison tests
• The Class of Mean Residual Lives and Some Consequences
• The generalized Pareto law as a model for progressively censored survival data

Cited in

(3)

• On Gaussian Compound Poisson Type Limiting Likelihood Ratio Process
• The normal Laplace approximation to compound distributions
• Hypo-exponential distributions and compound Poisson processes with alternating parameters

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