Asymptotics for the sum of three state Markov dependent random variables

DOI10.15559/18-VMSTA123MaRDI QIDQ2326533zbMATH OpenOpenAlexFDO

Authors Gabija Liaudanskaitė, Vydas Čekanavičius

Publication date 8 October 2019

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.03320

zbMATH Keywords

insurance modelKolmogorov normlocal normMarkov chainnon-uniform estimatesigned compound Poisson approximationtotal variation norm

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the aggregate claims distribution after $ninmathbbN$ periods. The accuracy of order $O(n^{-1})$ and $O(n^{-1/2})$ is obtained for the local and uniform norms, respectively. In a particular case, the accuracy of estimates in total variation and non-uniform estimates are shown to be at least of order $O(n^{-1})$. The characteristic function method is used. The results can be applied to estimate the probable loss of an insurer to optimize an insurance premium.

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Cited in

(5)

• On the stochastic and dependence properties of the three-state systems
• Degree bounds for a minimal Markov basis for the three-state toric homogeneous Markov chain model
• Approximation of symmetric three-state Markov chain by compound Poisson law
• Tail areas for randomly stopped sums defined on a Markov chain
• Approximations for sums of three-valued 1-dependent symmetric random variables

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