A Functional Approach to Approximations for the Individual Risk Model

DOI10.2143/AST.34.2.505149MaRDI QIDQ5490571zbMATH OpenOpenAlexFDO

Authors Susan M. Pitts

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.34.2.505149

zbMATH Keywords

compound distributionsstop-loss premiumsFréchet derivativestotal claim amount distribution

Mathematics Subject Classification ID

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

Recommendations

• On approximating the individual risk model
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• Functional limit theorems for generalized risk processes
• scientific article; zbMATH DE number 2169744

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• A functional approach to approximations for the observed open times in single ion channel models
• A functional approach to the stationary waiting time and idle period distributions of the \(GI/G/1\) queue
• Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday

Cited in

(12)

• Asymptotics for the sum of three state Markov dependent random variables
• Approximations for the moments of ruin time in the compound Poisson model
• A Functional Approach for Ruin Probabilities
• Some comments on the individual risk model and multivariate extension
• Some notes on approximations for the deficit at ruin in the compound Poisson risk model
• scientific article; zbMATH DE number 599629 (Why is no real title available?)
• On the small risk approximation
• Risk measure preserving piecewise linear approximation of empirical distributions
• Approximating the solution of an integral equation arising in the theory of risk: A comment
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• On variational bounds in the compound Poisson approximation of the individual risk model
• Distributions of claims amounts of individual segments versus distribution of claims amounts of the entire portfolio

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