On error bounds for approximations to multivariate distributions.

DOI10.1016/S0167-6687(00)00042-1MaRDI QIDQ1584592zbMATH OpenFDO

Authors Bjørn Sundt

Publication date 2000

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

Full work available at URL https://doi.org/10.1016/S0167-6687(00)00042-1

Mathematics Subject Classification ID

Distribution theory (60E99) Approximations to statistical distributions (nonasymptotic) (62E17) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• On a class of approximative computation methods in the individual risk model
• On approximating distributions by approximating their De Pril transforms
• Some results on moments and cumulants
• The multivariate De Pril transform.

Cited in

(4)

• Recursive evaluation of aggregate claims distributions.
• The multivariate De Pril transform.
• Efficient approximations for numbers of survivors in the Lee-Carter model
• Recursions for the individual risk model

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