An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio
Year: 1987
Type: article
Abstract: 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.
Source: Astin Bulletin
Author: R. Michel
Institution: University of Wuppertal
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2315686408