Local limit theorems for collective risk models

DOI10.1016/J.SPL.2023.109867MaRDI QIDQ6178678zbMATH OpenOpenAlexWikidataFDO

Authors Hattacha Kongjiw, P. Rattanawong, K. Neammanee

Publication date 4 September 2023

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2023.109867

zbMATH Keywords

collective risk modelcompound Poisson distributionlocal limit theoremindividual risk modelcompound binomial distributioncompound negative binomial distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 1614382 (Why is no real title available?)
• scientific article; zbMATH DE number 50805 (Why is no real title available?)
• An improvement of convergence rate in the local limit theorem for integral-valued random variables
• Approximate local limit theorems with effective rate and application to random walks in random scenery
• Bounds of the accuracy of the normal approximation to the distributions of random sums under relaxed moment conditions
• Convergence rate estimates in local limit theorems for Poisson random sums
• Direct derivation of finite-time ruin probabilities in the discrete risk model with exponential or geometric claims
• Insurance risk and ruin.
• Local limit theorems for compound discrete distributions
• Notes on discrete compound Poisson model with applications to risk theory
• On Local Limit Theorem for Integer-Valued Random Variables
• On the normal approximation of a binomial random sum
• On the normal approximation of a negative binomial random sum
• On two-sided compound binomial distributions

Cited in

(4)

• Bounds for Ratios of Posterior Expectations: Applications in the Collective Risk Model
• Probability approximation for compound binomial and compound Poisson collective risk models
• Self-similar processes in collective risk theory
• Limit theorems for local cumulative shock models with cluster shock structure

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