A Functional Approach to Approximations for the Individual Risk Model

DOI10.2143/AST.34.2.505149zbMATH Open1097.62117OpenAlexW4246141529MaRDI QIDQ5490571FDOQ5490571

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• A functional approach to the stationary waiting time and idle period distributions of the \(GI/G/1\) queue
• A functional approach to approximations for the observed open times in single ion channel models

Cited In (10)

• Asymptotics for the sum of three state Markov dependent random variables
• Some notes on approximations for the deficit at ruin in the compound Poisson risk model
• Some comments on the individual risk model and multivariate extension
• A Functional Approach for Ruin Probabilities
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• Approximations for the moments of ruin time in the compound Poisson model
• Approximating the solution of an integral equation arising in the theory of risk: A comment
• On the small risk approximation
• Title not available (Why is that?)
• On variational bounds in the compound Poisson approximation of the individual risk model

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