The normal Laplace approximation to compound distributions

MaRDI QIDQ3514134zbMATH OpenFDO

Authors Werner Hürlimann

Publication date 21 July 2008

zbMATH Keywords

aggregate claimsBrownian motiongammamixturesnormal-exponentialtranslated gammatranslated inverse Gaussian

Mathematics Subject Classification ID

Brownian motion (60J65) Approximations to statistical distributions (nonasymptotic) (62E17) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(2)

• Empirical Laplace transform and approximation of compound distributions
• The Lagged Normal Family of Probability Density Functions Applied to Indicator-Dilution Curves

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