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CONVERGENCE RATES IN APPROXIMATING A COMPOUND DISTRIBUTION
Published online by Cambridge University Press: 16 April 2004
Abstract
In connection with the classical insurance risk problem, Ross [2] develops a recursive formula for approximating a tail probability in a geometrically compounded distribution. Here, we consider rates of convergence for this approximation.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 18 , Issue 2 , April 2004 , pp. 185 - 190
- Copyright
- © 2004 Cambridge University Press