Abstract
AbstractFor 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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference2 articles.
1. Error bounds for the compound Poisson approximation;Gerber;Insurance: Mathematics and Economics,1984
2. On the rate of Poisson convergence
Cited by
40 articles.
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