Hostname: page-component-586b7cd67f-t7fkt Total loading time: 0 Render date: 2024-11-24T10:27:59.084Z Has data issue: false hasContentIssue false
  • English
  • Français

An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio

Published online by Cambridge University Press:  29 August 2014

R. Michel
R. Michel*
Affiliation:
University of Wuppertal
*
Fachbereich 7 – Mathematik, Bergische Universität, Gaußstrasse 20, 5600 Wuppertal I, Federal Republic of, Germany.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

For the case of a portfolio with identical claim amount distributions, Gerber's error bound for the compound Poisson approximation is improved (in the case λ ⩾ 1). The result can also be applied to more general portfolios by partitioning them into homogeneous subportfolios.

Keywords

Compound Poisson distributionhomogeneous portfolio
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 17 , Issue 2 , November 1987 , pp. 165 - 169
Copyright
Copyright © International Actuarial Association 1987

References

Barbour, A. D. and Hall, P. (1984) On the rate of Poisson convergence. Mathematical Proceedings of the Cambridge Philosophical Society 95, 473–480.CrossRefGoogle Scholar
Gerber, H. U. (1984) Error bounds for the compound Poisson approximation. Insurance: Mathematics and Economics 3, 191–194.Google Scholar