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On Error Bounds for Approximations to Aggregate Claims Distributions

Published online by Cambridge University Press:  29 August 2014

Jan Dhaene  and
Bjørn Sundt
Jan Dhaene
Affiliation:
Departement Toegepaste Economische, Wetenschappen, Katholieke Universiteit Leuven, Huis Eighen Heerd, Minderbroederstraat 5, B-3000 Leuven, Belgium
Bjørn Sundt
Affiliation:
Department of Mathematics, University of Bergen, Johannes Brunsgate 12, N-5008 Bergen, Norway
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Abstract

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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.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 2 , November 1997 , pp. 243 - 262
Copyright
Copyright © International Actuarial Association 1997

References

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