On the accuracy of the normal approximation to compound Poisson distributions

DOI10.1137/S0040585X97986424MaRDI QIDQ5166320zbMATH OpenOpenAlexFDO

Authors I. G. Shevtsova

Publication date 26 June 2014

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97986424

zbMATH Keywords

asymptotically exact constantBerry-Esseen inequalitycentral limit theoremconvergence rate estimatenormal approximationPoisson random sum

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Limit theorems in probability theory (60F99)

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Cited in

(9)

• Bounds of the accuracy of the normal approximation to the distributions of random sums under relaxed moment conditions
• Modeling high-frequency non-homogeneous order flows by compound Cox processes
• Asymptotic normal statistics for Poisson and compound Poisson distributions
• Approximating the Conway–Maxwell–Poisson distribution normalization constant
• Bounds for the concentration functions of random sums under relaxed moment conditions
• Estimates for the rate of convergence in the global CLT for compound mixed Poisson distributions
• Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
• Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
• Cramér-type moderate deviation for Studentized compound Poisson sum

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