Decompounding: an estimation problem for Poisson random sums.

DOI10.1214/aos/1059655905zbMath1105.62309OpenAlexW2065145045MaRDI QIDQ1434004

Boris Buchmann, Rudolf Grübel

Publication date: 1 July 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1059655905

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Inference from stochastic processes (62M99)

Related Items (36)

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Cites Work

• Aspects of risk theory
• Nonparametric estimation in renewal theory. I: The empirical renewal function
• Nonparametric estimation of compound distributions with applications in insurance
• Nonparametric estimation of the stationary waiting time distribution function for the \(GI/G/1\) queue
• Nonparametric estimation in renewal theory. II: Solutions of renewal-type equations.
• Weak convergence and empirical processes. With applications to statistics
• Bortkiewicz's Data and the Law of Small Numbers
• 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
• Uniform Central Limit Theorems
• Risk theory in a Markovian environment
• Convergence of stochastic processes
• Statistical aspects of perpetuities
• Goodness-of-fit tests for discrete models based on the integrated distribution function.
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