Error bounds for the compound Poisson approximation

DOI10.1016/0167-6687(84)90062-3zbMath0541.62097OpenAlexW1981078907MaRDI QIDQ794384

Hans U. Gerber

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0167-6687(84)90062-3

zbMATH Keywords

error boundscollective modelindividual modelcompound Poisson approximationscompound negative binomialstop-loss premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (33)

S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations ⋮ Improvements in the Poisson approximation of mixed Poisson distributions ⋮ Approximation of aggregate claims distributions by compound Poisson distributions ⋮ Compound Poisson approximation ⋮ Some alternatives for the individual model ⋮ Recursions for the individual model ⋮ A uniform approximation to the sampling distribution of the coefficient of variation ⋮ The Least Upper Bound on the Poisson-Negative Binomial Relative Error ⋮ Recursions for the individual risk model ⋮ The compound Poisson approximation for a portfolio of dependent risks ⋮ Approximation of the generalized Poisson binomial distribution: Asymptotic expansions ⋮ On smoothing properties of compound Poisson distributions ⋮ On variational bounds in the compound Poisson approximation of the individual risk model ⋮ Compound Poisson and signed compound Poisson approximations to the Markov binomial law ⋮ Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model ⋮ Measuring the impact of dependence between claims occurrences. ⋮ Compound Poisson approximations for individual models with dependent risks. ⋮ Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums ⋮ The compound Poisson random variable's approximation to the individual risk model ⋮ Sharp constants in the Poisson approximation ⋮ On the stop-loss and total variation distances between random sums ⋮ Compound Poisson approximation to convolutions of compound negative binomial variables ⋮ Notes on discrete compound Poisson model with applications to risk theory ⋮ Pricing catastrophe options in discrete operational time ⋮ Asymptotic estimates of insurance tarifs in the individual risk model ⋮ Poisson approximation of the mixed Poisson distribution with infinitely divisible mixing law ⋮ Probabilities of large deviations for the \(\chi^2\) approximation ⋮ Asymptotic expansions for generalized Poisson measures ⋮ Asymptotic estimation of the parameters of multivariate point processes. ⋮ On the stability of splitting difference schemes with respect to boundary conditions ⋮ Asymptotics for the sum of three state Markov dependent random variables ⋮ Approximation of a sample by a Poisson point process ⋮ Bounds on compound distributions and stop-loss premiums

Cites Work

• An approximation theorem for the Poisson binomial distribution
• Poisson Approximations and the Definition of the Poisson Process
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