An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio
Open Access
- 1 November 1987
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 17 (2) , 165-169
- https://doi.org/10.2143/AST.17.2.2014971
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.Keywords
This publication has 2 references indexed in Scilit:
- Error bounds for the compound poisson approximationInsurance: Mathematics and Economics, 1984
- On the rate of Poisson convergenceMathematical Proceedings of the Cambridge Philosophical Society, 1984