A Functional Approach to Approximations for the Individual Risk Model

DOI10.2143/AST.34.2.505149zbMath1097.62117OpenAlexW4246141529MaRDI QIDQ5490571

Susan M. Pitts

Publication date: 4 October 2006

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

Full work available at URL: https://doi.org/10.2143/ast.34.2.505149

zbMATH Keywords

Fréchet derivativescompound distributionsstop-loss premiumstotal claim amount distribution

Mathematics Subject Classification ID

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

Related Items (5)

On variational bounds in the compound Poisson approximation of the individual risk model ⋮ Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model ⋮ A Functional Approach for Ruin Probabilities ⋮ Approximations for the moments of ruin time in the compound Poisson model ⋮ Asymptotics for the sum of three state Markov dependent random variables

Cites Work

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• A functional approach to the stationary waiting time and idle period distributions of the \(GI/G/1\) queue
• A functional approach to approximations for the observed open times in single ion channel models
• 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

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