On probabilities of large claims that are compound Poisson distributed

DOI10.1007/BF02809404MaRDI QIDQ3141121zbMATH OpenOpenAlexFDO

Authors Reinhard Michel

Publication date 10 January 1994

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02809404

zbMATH Keywords

compound Poisson distributionexponential boundslarge deviationsloaded pure risk principleprobability of claims exceeding premiumsreinsurances

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bounds on stop-loss premiums and ruin probabilities
• scientific article; zbMATH DE number 7621136
• scientific article; zbMATH DE number 1475713
• scientific article; zbMATH DE number 3878209
• Large deviations for risk processes with reinsurance

Cites work

• An application of Fourier methods to the problem of sharpening the Berry-Esseen inequality
• scientific article; zbMATH DE number 48420 (Why is no real title available?)

Cited in

(4)

• Approximation of aggregate claims distributions by compound Poisson distributions
• Asymptotic expansion for the distribution density function of the compound Poisson process in large deviations
• On the total claim amount for marked Poisson cluster models
• Applications of the classical compound Poisson model with claim sizes following a compound distribution

This page was built for publication: On probabilities of large claims that are compound Poisson distributed

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3141121)