Bounds on compound distributions and stop-loss premiums
type: Item
instance of: scholarly article
title: Bounds on compound distributions and stop-loss premiums
zbMATH Open document ID: 0584.62173
DOI: 10.1016/0167-6687(85)90041-1
author: J. Th. Runnenburg
author: Marc J. Goovaerts
published in: Insurance Mathematics \& Economics
publication date: 1985-01-01T00:00:00Z
review text: In the actuarial literature a lot of attention is given to the approximation of aggregate claims distributions by compound Poisson and Polya distributions and their subsequent numerical evaluation. The present contribution derives bounds for the tail of compound distributions and stop-loss premiums. The bounds are obtained in an elementary manner based on a version of the Chebyshev inequality. The main point of this contribution consists in deriving bounds with explicit dependence on the distribution function itself as well as on some partial moments of it.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60E15
zbMATH DE Number: 3936332
zbMATH Keywords: bounds for the tail of compound distributions
zbMATH Keywords: stop-loss premiums
zbMATH Keywords: Chebyshev inequality
MaRDI profile type: Publication
full work available at URL: 0167-6687(85)90041-1
OpenAlex ID: W2081114409
cites work: Q3773148
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description: scientific article; zbMATH DE number 3936332