Berry-Esseen bounds for compound-Poisson loss percentiles

DOI10.1080/03461238.2016.1182064MaRDI QIDQ4577191zbMATHOpenAlexFDO

Authors Frank Y. Feng, Michael R. Powers, Rui'An Xiao, Lin Zhao

Publication date 17 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2016.1182064

zbMATH Keywords

Berry-Esseen theoremrisk theorypercentile estimationcompound-Poisson sumsreinsurance retention

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3128684 (Why is no real title available?)
• scientific article; zbMATH DE number 3295883 (Why is no real title available?)
• scientific article; zbMATH DE number 3043546 (Why is no real title available?)
• A sharpening of the inequality of Berry-Esseen
• An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums
• Micro-level stochastic loss reserving for general insurance
• On the absolute constants in the Berry-Esseen-type inequalities
• On the asymptotically exact constants in the Berry-Esseen-Katz inequality
• Pricing catastrophe risk in life (re)insurance
• Sharpened upper bounds for the absolute constant in the Berry-Esseen inequality for mixed Poisson random sums
• The lower asymptotically exact constant in the central limit theorem

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