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Asymptotic Behaviour of Compound Distributions and Stop-loss Premiums

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  • Sundt, Bjørn

Abstract

The paper gives some asymptotic results for the compound distribution of aggregate claims when the claim number distribution is negative binomial. The case when the claim numbers are geometrically distributed, is treated separately.

Suggested Citation

  • Sundt, Bjørn, 1982. "Asymptotic Behaviour of Compound Distributions and Stop-loss Premiums," ASTIN Bulletin, Cambridge University Press, vol. 13(2), pages 89-98, December.
    • Handle: RePEc:cup:astinb:v:13:y:1982:i:02:p:89-98_00
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    Cited by:

    1. S. Chadjiconstantinidis & M. V. Koutras & F. S. Milienos, 2023. "The distribution of extended discrete random sums and its application to waiting time distributions," Methodology and Computing in Applied Probability, Springer, vol. 25(2), pages 1-27, June.
    2. F. G. Badía & C. Sangüesa, 2015. "Inventory models with nonlinear shortage costs and stochastic lead times; applications of shape properties of randomly stopped counting processes," Naval Research Logistics (NRL), John Wiley & Sons, vol. 62(5), pages 345-356, August.
    3. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.

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