Approximation and estimation of some compound distributions

DOI10.1016/0167-6687(85)90010-1MaRDI QIDQ1069255zbMATH OpenOpenAlexFDO

Authors J. L. Teugels

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0167-6687(85)90010-1

zbMATH Keywords

estimationapproximationssubexponential distributioncompound Poisson modelclaim processestotal claim amountapplications to premium calculation principlesPascal casePoisson case

Mathematics Subject Classification ID

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

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Cites work

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• A renewal theorem of Blackwell type
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Harmonic renewal measures
• On convolution tails
• Regular variation of the tail of a subordinated probability distribution
• Second order behaviour of the tail of a subordinated probability distribution
• Subexponentiality and infinite divisibility
• What is the Laplace Transform?

Cited in

(18)

• Approximations for compound Poisson and Pólya processes
• Another choice to the distribution of aggregate claims -- compound Poisson-inverse Gaussian distribution
• scientific article; zbMATH DE number 1834003 (Why is no real title available?)
• Double parameters compound Poisson distribution and its Esscher approximation
• Limiting tail behaviour of some discrete compound distributions
• Comparison of approximations for compound Poisson processes
• Statistical inference based on large claims via poisson approximation. Part II: Poisson process approach
• CONVERGENCE RATES IN APPROXIMATING A COMPOUND DISTRIBUTION
• A Gaussian Exponential Approximation to Some Compound Poisson Distributions
• Approximations for stop-loss premiums
• Empirical Laplace transform and approximation of compound distributions
• Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
• Zur genauigkeit der approximation einer gesamtschadenverteilung durch eine zusammengesetzte poisson-verteilung
• Ruin estimates under interest force
• scientific article; zbMATH DE number 938963 (Why is no real title available?)
• Bounds on compound distributions and stop-loss premiums
• The normal Laplace approximation to compound distributions
• scientific article; zbMATH DE number 4121212 (Why is no real title available?)

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