The compound Poisson random variable's approximation to the individual risk model

DOI10.1016/J.INSMATHECO.2004.10.003zbMATH Open1130.91360OpenAlexW2042020976MaRDI QIDQ2483948FDOQ2483948

Authors: Zhenyong Zhang, Jingping Yang, Shulin Zhou 

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.10.003

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zbMATH Keywords

Wasserstein distanceCompound Poisson approximationIndividual risk modelComonotonic

Mathematics Subject Classification ID

Cites Work

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• Axiomatic characterization of insurance prices
• Central limit theorems for the Wasserstein distance between the empirical and the true distributions
• Error bounds for the compound Poisson approximation
• Approximation of aggregate claims distributions by compound Poisson distributions
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Cited In (11)

• Asymptotics for the sum of three state Markov dependent random variables
• The compound Poisson risk model with multiple thresholds
• Comparison of approximations for compound Poisson processes
• Title not available (Why is that?)
• CONVERGENCE RATES IN APPROXIMATING A COMPOUND DISTRIBUTION
• On variational bounds in the compound Poisson approximation of the individual risk model
• Title not available (Why is that?)
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• CreditRisk\(^+\) model with dependent risk factors
• Some results on a bivariate compound Poisson risk model
• Title not available (Why is that?)

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