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

DOI10.1016/J.INSMATHECO.2004.10.003zbMath1130.91360OpenAlexW2042020976MaRDI QIDQ2483948

Zhenyong Zhang, Jing-Ping Yang, Shu Lin 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

Wasserstein distanceCompound Poisson approximationIndividual risk modelComonotonic

Mathematics Subject Classification ID

Related Items (1)

CreditRisk⁺Model with Dependent Risk Factors

Cites Work

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• Error bounds for the compound Poisson approximation
• 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

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