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

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  • Roos, Bero

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  • 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.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:3:p:403-414
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    References listed on IDEAS

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    1. Hipp, Christian, 1986. "Improved Approximations for the Aggregate Claims Distribution in the Individual Model," ASTIN Bulletin, Cambridge University Press, vol. 16(2), pages 89-100, November.
    2. Kuon, S. & Radtke, M. & Reich, A., 1993. "An Appropriate Way to Switch from the Individual Risk Model to the Collective One," ASTIN Bulletin, Cambridge University Press, vol. 23(1), pages 23-54, May.
    3. Pitts, Susan M., 2004. "A Functional Approach to Approximations for the Individual Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 379-397, November.
    4. Gerber, Hans U., 1984. "Error bounds for the compound poisson approximation," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 191-194, July.
    5. 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.
    6. Hipp, C., 1985. "Approximation of aggregate claims distributions by compound poisson distributions," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 227-232, October.
    7. De Pril, Nelson & Dhaene, Jan, 1992. "Error Bounds for Compound Poisson Approximations of the Individual Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 135-148, November.
    8. Michel, R., 1987. "An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 165-169, November.
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    Cited by:

    1. Kruopis, Julius & Čekanavičius, Vydas, 2014. "Compound Poisson approximations for symmetric vectors," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 30-42.
    2. Salazar García, Juan Fernando & Guzmán Aguilar, Diana Sirley & Hoyos Nieto, Daniel Arturo, 2023. "Modelación de una prima de seguros mediante la aplicación de métodos actuariales, teoría de fallas y Black-Scholes en la salud en Colombia [Modelling of an insurance premium through the application," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 35(1), pages 330-359, June.

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