Some approximation methods for the distribution of random sums

DOI10.1016/0167-6687(83)90024-0MaRDI QIDQ1054403zbMATH OpenOpenAlexFDO

Authors G. Rappl, Rainer von Chossy

Publication date 1983

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

Full work available at URL https://doi.org/10.1016/0167-6687(83)90024-0

zbMATH Keywords

central limit theoremEdgeworth expansioncompound Poisson distributionBerry-Esseen theoremdistribution of random sumsEsscher approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Cited in

(11)

• On the normal approximation of a binomial random sum
• Comparison of approximations for compound Poisson processes
• Sharp orders of convergence in the random central limit theorem
• \(L_1\) bounds for asymptotic normality of random sums of independent random variables
• An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums
• On the computation of aggregate claims distributions: some new approximations
• On the normal approximation of a sum of a random number of independent random variables
• Some estimates of normal approximation for the distribution of a sum of a random number of independent random variables
• On the normal approximation of a negative binomial random sum
• Sharpened upper bounds for the absolute constant in the Berry-Esseen inequality for mixed Poisson random sums
• Asymptotic expansions in the central limit theorem for compound and Markov processes

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