Bounds on compound distributions and stop-loss premiums

DOI10.1016/0167-6687(85)90041-1MaRDI QIDQ1069644zbMATH OpenOpenAlexFDO

Authors J. Th. Runnenburg, Marc J. Goovaerts

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)90041-1

zbMATH Keywords

bounds for the tail of compound distributionsChebyshev inequalitystop-loss premiums

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

In the actuarial literature a lot of attention is given to the approximation of aggregate claims distributions by compound Poisson and Polya distributions and their subsequent numerical evaluation. The present contribution derives bounds for the tail of compound distributions and stop-loss premiums. The bounds are obtained in an elementary manner based on a version of the Chebyshev inequality. The main point of this contribution consists in deriving bounds with explicit dependence on the distribution function itself as well as on some partial moments of it.

Recommendations

• Bounds on stop-loss premiums and ruin probabilities
• scientific article; zbMATH DE number 3960842
• Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
• Error bounds for the compound Poisson approximation
• scientific article; zbMATH DE number 3978233

Cites work

• Approximation and estimation of some compound distributions
• Approximation of aggregate claims distributions by compound Poisson distributions
• Bounds on compound distributions and stop-loss premiums
• Error bounds for the compound Poisson approximation
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3892431 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)

Cited in

(19)

• Bounds on compound distributions and stop-loss premiums
• Upper bounds on stop-loss premiums in case of known moments up to the fourth order
• On approximating aggregate claims distributions and stop-loss premiums by truncation
• Bounds on stop-loss premiums and ruin probabilities
• Limiting tail behaviour of some discrete compound distributions
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Bounds for stop-loss premium under restrictions on \(I\)-divergence
• Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Two-Sided Bounds for Tails of Compound Negative Binomial Distributions in the Exponential and Heavy-Tailed Cases
• scientific article; zbMATH DE number 4013824 (Why is no real title available?)
• On the use of bounds on the stop-loss premium for an inventory management decision problem
• scientific article; zbMATH DE number 3960842 (Why is no real title available?)
• scientific article; zbMATH DE number 3978233 (Why is no real title available?)
• scientific article; zbMATH DE number 3978235 (Why is no real title available?)
• Berry-Esseen bounds for compound-Poisson loss percentiles
• A Unified Approach to Generate Risk Measures
• Equilibrium compound distributions and stop-loss moments
• Two-sided bounds for renewal equations and ruin quantities

This page was built for publication: Bounds on compound distributions and stop-loss premiums

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1069644)