On error bounds for approximations to aggregate claims distributions

ASTIN Bulletin

Volumn 27, Issue 2, 1997, Pages 243-262

  Dhaene, Jan ^a   Sundt, Bjørn ^b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b UNIVERSITY OF BERGEN   (Norway)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011486159     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.27.2.542050     Document Type: Article

References (8)

1. Bühlmann, H., Gagliardi, B., Gerber, H.U., & Straub, E. (1977). Some inequalities for stop-loss premiums. ASTIN Bulletin. 9, 75–83.
2. De Pril, N. & Dhaene, J. (1992). Error bounds for compound Poisson approximations to the individual risk model. ASTIN Bulletin. 22, 135–148.
3. Dhaene, J. (1991). Approximating the compound negative binomial distribution by the compound Poisson distribution. Bulletin of the Swiss Association of Actuaries, 117–121.
4. Dhaene, J. & Sundt, B. (1996). On approximating distributions by approximating their De Pril transforms. To be published in Scandinavian Actuarial Journal.
5. Feller, W, (1968). An introduction to probability theory and its applications. (3. ed.). Wiley, New York.
6. Gerber, H.U. (1984). Error bounds for the compound Poisson approximation. Insurance: Mathematics and Economics. 3, 191–194.
7. Sundt, B. (1991). On approximating aggregate claims distributions and stop-loss premiums by truncation. Insurance: Mathematics and Economics. 10. 133–136.
8. Sundt, B. & Dhaene, J. (1996). On bounds for the difference between the stop loss transforms of two compound distributions. ASTIN Bulletin. 26, 225–231.