The compound Poisson approximation for a portfolio of dependent risks
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Publication:1921988
DOI10.1016/0167-6687(95)00033-XzbMath0853.62079OpenAlexW2045136737MaRDI QIDQ1921988
Publication date: 9 January 1997
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(95)00033-x
compound Poisson approximationChen-Stein methoddependent risksaggregate claims distributionindividual risk theory modelmutually independent individual risks
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Related Items (14)
Compound Poisson approximation: A user's guide ⋮ Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION ⋮ Testing independence in bivariate distributions of claim frequencies and severities ⋮ Compound Poisson and signed compound Poisson approximations to the Markov binomial law ⋮ Ruin probabilities for time-correlated claims in the compound binomial model. ⋮ Measuring the impact of dependence between claims occurrences. ⋮ On two dependent individual risk models. ⋮ Compound Poisson approximations for individual models with dependent risks. ⋮ Some results on ruin probabilities in a two-dimensional risk model. ⋮ Normal approximation for random sums ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Optimal dividend payments for a two-dimensional insurance risk process ⋮ Stop-loss premiums under dependence
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