The compound Poisson approximations for a portfolio of dependent risks
| Authors |
|
| Publication date |
05-1996
|
| Journal |
Insurance: Mathematics & Economics
|
| Volume | Issue number |
18 | 1
|
| Pages (from-to) |
81-85
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
A well-known approximation of the aggregate claims distribution in the individual risk theory model with mutually independent individual risks is the compound Poisson approximation. In this paper, we relax the assumption of independency and show that the same compound Poisson approximation will still perform well under certain circumstances.
|
| Document type |
Article
|
| Language |
English
|
| Published at |
https://doi.org/10.1016/0167-6687(95)00033-X
|
|
Permalink to this page
|
Back