Limiting tail behaviour of some discrete compound distributions
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Publication:1262682
DOI10.1016/0167-6687(89)90055-3zbMath0686.62092OpenAlexW1982578709MaRDI QIDQ1262682
Publication date: 1989
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(89)90055-3
probability functionqueuesasymptotic estimatesstop-loss premiumtailmixed Poissondiscrete compound distributionsDelaporte's distributioninsurance claims modelling
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS ⋮ On Posterior Probabilities and Moments in Mixed Poisson Processes ⋮ Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions ⋮ Ruin probabilities in the discrete time renewal risk model ⋮ Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model ⋮ A note on an integer valued time series model with Poisson–negative binomial marginal distribution ⋮ MODELLING ZERO-INFLATED COUNT DATA WITH A SPECIAL CASE OF THE GENERALISED POISSON DISTRIBUTION ⋮ On a stochastic order induced by an extension of Panjer's family of discrete distributions ⋮ On some compound distributions with Borel summands
Cites Work
- Approximations for stop-loss premiums
- Strategies for computation of compound distributions with two-sided severities
- Some asymptotic results useful in enumeration problems
- Functions of probability measures
- Asymptotic tail behaviour of Poisson mixtures by applications
- Survival models for heterogeneous populations derived from stable distributions
- Errata: Asymptotic Methods in Enumeration
- Regular variation of the tail of a subordinated probability distribution
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