A Gaussian Exponential Approximation to Some Compound Poisson Distributions

DOI10.2143/AST.33.1.1038zbMath1058.62019OpenAlexW4230041924MaRDI QIDQ4661672

Werner Hürlimann

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.33.1.1038

zbMATH Keywords

analytical approximationstop-loss transformmean excess functionthreshold parametercompound Poisson distributionexponential densityGauss density

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

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• Limited expected value comparison tests
• The Class of Mean Residual Lives and Some Consequences
• The generalized Pareto law as a model for progressively censored survival data

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