Approximation and estimation of some compound distributions

DOI10.1016/0167-6687(85)90010-1zbMATH Open0583.62091OpenAlexW2086208690MaRDI QIDQ1069255FDOQ1069255

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

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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)

Cites Work

• Subexponentiality and infinite divisibility
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• What is the Laplace Transform?
• On convolution tails
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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Regular variation of the tail of a subordinated probability distribution
• Second order behaviour of the tail of a subordinated probability distribution
• Harmonic renewal measures
• A renewal theorem of Blackwell type
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (17)

• Another choice to the distribution of aggregate claims -- compound Poisson-inverse Gaussian distribution
• Title not available (Why is that?)
• Double parameters compound Poisson distribution and its Esscher approximation
• Statistical inference based on large claims via poisson approximation. Part II: Poisson process approach
• Limiting tail behaviour of some discrete compound distributions
• 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
• Title not available (Why is that?)
• Bounds on compound distributions and stop-loss premiums
• The normal Laplace approximation to compound distributions
• Title not available (Why is that?)
• Approximations for compound Poisson and Pólya processes

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