IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v27y1997i02p243-262_01.html
   My bibliography  Save this article

On Error Bounds for Approximations to Aggregate Claims Distributions

Author

Listed:
  • Dhaene, Jan
  • Sundt, Bjørn

Abstract

In the present paper we discuss error bounds for approximations to aggregate claims distributions. We consider approximations to convolutions by approximating each of the distributions and taking the convolution of these approximations. For compound distributions we consider two classes of approximations. In the first class we approximate the counting distribution, but keep the severity distribution unchanged, whereas in the second class we approximate the severity distribution, but keep the counting distribution unchanged. We finally look at some examples.

Suggested Citation

  • Dhaene, Jan & Sundt, Bjørn, 1997. "On Error Bounds for Approximations to Aggregate Claims Distributions," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 243-262, November.
    • Handle: RePEc:cup:astinb:v:27:y:1997:i:02:p:243-262_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S051503610001206X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roos, Bero, 2007. "On variational bounds in the compound Poisson approximation of the individual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 403-414, May.
    2. Sundt, Bjorn, 2000. "On error bounds for approximations to multivariate distributions," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 137-144, August.
    3. Yang, Jingping & Zhou, Shulin & Zhang, Zhenyong, 2005. "The compound Poisson random variable's approximation to the individual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 57-77, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:27:y:1997:i:02:p:243-262_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.