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Local limit theorems for collective risk models

Author

Listed:
  • Kongjiw, Hattacha
  • Rattanawong, Petcharat
  • Neammanee, Kritsana

Abstract

A probability model known as the collective risk model is used to describe the total claim from a portfolio of insurance contracts. It is essential to non-life insurance. Let N represent the number of claims and X1,X2,… represent the amount of loss in each claim where Xj′s are independent and identically distributed. For the collective risk model, the total claim is given by SN=X1+X2+⋯+XN. Local limit theorems estimate the probability at a particular point P(SN=k). In this paper, we provide local limit theorems for SN, where N is a random variable with a binomial, Poisson and negative binomial distribution. Our results give a better rate of convergence than Berry–Esseen’s Theorem. Explicit constants of the error bounds are also given.

Suggested Citation

  • Kongjiw, Hattacha & Rattanawong, Petcharat & Neammanee, Kritsana, 2023. "Local limit theorems for collective risk models," Statistics & Probability Letters, Elsevier, vol. 201(C).
    • Handle: RePEc:eee:stapro:v:201:y:2023:i:c:s0167715223000913
    DOI: 10.1016/j.spl.2023.109867
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