Some approximation methods for the distribution of random sums

This paper deals with approximation methods for the distribution of random sums, a subject being of high interest especially in actuarial mathematics (distribution of the total claim during a fixed time interval). Above all the authors intended to deliver rigid proofs for some propositions (such as...

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Bibliographic Details
Published inInsurance, mathematics & economics Vol. 2; no. 4; pp. 251 - 270
Main Authors von Chossy, R., Rappl, G.
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.01.1983
Elsevier
SeriesInsurance: Mathematics and Economics
Subjects
Berry-Esseen theorem
Central limit theorem
Compound Poisson distribution
Edgeworth expansion
Esscher approximation
Random sums
Random sums
Esscher approximation
Central limit theorem
Edgeworth expansion
Compound Poisson distribution
Berry-Esseen theorem
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Summary:This paper deals with approximation methods for the distribution of random sums, a subject being of high interest especially in actuarial mathematics (distribution of the total claim during a fixed time interval). Above all the authors intended to deliver rigid proofs for some propositions (such as Esscher and Edgeworth approximation) which are established in relevant articles frequently only in heuristic manner.
ISSN:0167-6687
1873-5959
DOI:10.1016/0167-6687(83)90024-0