Approximation and estimation of some compound distributions
type: Item
instance of: scholarly article
title: Approximation and estimation of some compound distributions
zbMATH Open document ID: 0583.62091
DOI: 10.1016/0167-6687(85)90010-1
published in: Insurance Mathematics \& Economics
publication date: 1985-01-01T00:00:00Z
review text: With \(p_ n\) as the probability of the occurrence of n claims and F(x) as the distribution of claim size the function \[ 1- G(x)=\sum^{\infty}_{n=1}p_ n\{1-F^{(n)}(x)\} \] is used for approximations of some classes of claim processes based on asymptotic results by \textit{P. Embrechts}, \textit{M. Maejima} and \textit{E. Omey}, Ann. Probab. 12, 561-570 (1984; Zbl 0537.60087) and others. The results are applied to the Poisson case, the Pascal case and the compound Poisson model.
reviewed by: Ch.Netzel
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 3934276
zbMATH Keywords: estimation
zbMATH Keywords: applications to premium calculation principles
zbMATH Keywords: subexponential distribution
zbMATH Keywords: total claim amount
zbMATH Keywords: approximations
zbMATH Keywords: claim processes
zbMATH Keywords: Poisson case
zbMATH Keywords: Pascal case
zbMATH Keywords: compound Poisson model
author: J. L. Teugels
MaRDI profile type: Publication
full work available at URL: 0167-6687(85)90010-1
OpenAlex ID: W2086208690
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description: scientific article; zbMATH DE number 3934276