Approximation of aggregate claims distributions by compound Poisson distributions
type: Item
instance of: scholarly article
title: Approximation of aggregate claims distributions by compound Poisson distributions
zbMATH Open document ID: 0598.62139
DOI: 10.1016/0167-6687(85)90032-0
published in: Insurance Mathematics \& Economics
publication date: 1985-01-01T00:00:00Z
review text: Error estimates are given for the approximation of the individual model of risk theory by compound Poisson distributions. Theoretical portfolios and one life portfolio from practice demonstrate the quality of the estimates.
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 3965295
zbMATH Keywords: aggregate claims distribution
zbMATH Keywords: error bounds
zbMATH Keywords: normal approximation
zbMATH Keywords: van Beek's Berry-Esseen bound
zbMATH Keywords: individual model
zbMATH Keywords: risk theory
zbMATH Keywords: compound Poisson distributions
author: Christian Hipp
reviewed by: Axel Reich
MaRDI profile type: Publication
full work available at URL: 0167-6687(85)90032-0
OpenAlex ID: W2026510718
cites work: On the Approximation of n-Fold Convolutions of Distributions having Non-Negative Characteristic Functions with Accompanying Laws
cites work: Q3868650
cites work: Error bounds for the compound Poisson approximation
cites work: Q4085018
cites work: An application of Fourier methods to the problem of sharpening the Berry-Esseen inequality
cites work: On the Accuracy of Approximation of Distributions of Sums of Independent Random Variables—Which are Nonzero with a Small Probability—By Means of Accompanying Laws
Recommended article: Zur genauigkeit der approximation einer gesamtschadenverteilung durch eine zusammengesetzte poisson-verteilung
Recommended article: Q3806639
Recommended article: On the computation of aggregate claims distributions: some new approximations
Recommended article: Q5425199
Recommended article: Q4685260
Recommended article: On probabilities of large claims that are compound Poisson distributed
Recommended article: Eine Verschärfung der Schranke von LeCam zur Poisson-Approximation von Gesamtschadenverteilungen im individuellen Modell
Recommended article: Applications of the classical compound Poisson model with claim sizes following a compound distribution
Recommended article: Polynomial approximations for bivariate aggregate claims amount probability distributions
description: scientific article; zbMATH DE number 3965295