An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio

R. Michel

doi:10.2143/AST.17.2.2014971

Abstract

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For the case of a portfolio with identical claim amount distributions, Gerber's error bound for the compound Poisson approximation is improved (in the case λ ⩾ 1). The result can also be applied to more general portfolios by partitioning them into homogeneous subportfolios.

References

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Gerber, H. U. (1984) Error bounds for the compound Poisson approximation. Insurance: Mathematics and Economics 3, 191–194.Google Scholar

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Article contents

An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio

Abstract

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References

This article has been cited by the following publications. This list is generated based on data provided by Crossref.

Article contents

An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio

Abstract

Keywords

References

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