The compound Poisson random variable's approximation to the individual risk model

DOI10.1016/J.INSMATHECO.2004.10.003MaRDI QIDQ2483948zbMATH OpenOpenAlexFDO

Authors Zhenyong Zhang, Jingping Yang, Shulin Zhou

Publication date 1 August 2005

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.10.003

zbMATH Keywords

ComonotonicCompound Poisson approximationIndividual risk modelWasserstein distance

Mathematics Subject Classification ID

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Cites work

• Approximation of aggregate claims distributions by compound Poisson distributions
• Axiomatic characterization of insurance prices
• Central limit theorems for the Wasserstein distance between the empirical and the true distributions
• Error bounds for the compound Poisson approximation
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 1979779 (Why is no real title available?)

Cited in

(12)

• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Asymptotics for the sum of three state Markov dependent random variables
• Some results on a bivariate compound Poisson risk model
• Approximation of sums by compound Poisson distributions with respect to stop-loss distances
• scientific article; zbMATH DE number 1979779 (Why is no real title available?)
• Comparison of approximations for compound Poisson processes
• scientific article; zbMATH DE number 2169691 (Why is no real title available?)
• CONVERGENCE RATES IN APPROXIMATING A COMPOUND DISTRIBUTION
• CreditRisk\(^+\) model with dependent risk factors
• scientific article; zbMATH DE number 2219622 (Why is no real title available?)
• On variational bounds in the compound Poisson approximation of the individual risk model
• The compound Poisson risk model with multiple thresholds

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