On variational bounds in the compound Poisson approximation of the individual risk model

Link:
Autor/in:
Erscheinungsjahr:
2007
Medientyp:
Text
Schlagworte:
  • Compound Poisson approximation
  • IM20
  • Individual risk model
  • Magic factors
  • Signed Kornya-Presman measures
  • Total variation distance
Beschreibung:
  • We present new upper bounds for the total variation distance between the aggregate claims distribution in the individual risk model and a suitable compound Poisson distribution. It turns out that the bounds are generally valid and contain so-called magic factors. Higher-order approximations, including the signed Kornya-Presman measures, are also investigated. In contrast to results of a previous paper by the author, the results do not depend on a joint decomposition of the individual claim amount distributions. Further, we do not need to assume the finiteness of moments. © 2006 Elsevier Ltd. All rights reserved.
Lizenz:
  • info:eu-repo/semantics/closedAccess
Quellsystem:
Forschungsinformationssystem der UHH
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oai:www.edit.fis.uni-hamburg.de:publications/c9e3f04e-e7bc-4b3d-adcf-fbf506f9d109