The compound Poisson approximation for a portfolio of dependent risks
AbstractA very 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 18 (1996)
Issue (Month): 1 (May)
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Web page: http://www.elsevier.com/locate/inca/505554
Other versions of this item:
- Dhaene, Jan & Goovaerts, Marc, 1995. "The compound Poisson approximation for a portfolio of dependent risks," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118696, Katholieke Universiteit Leuven.
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- Gerber, Hans U., 1984. "Error bounds for the compound poisson approximation," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 191-194, July.
- Kaas, R. & Gerber, H. U., 1994. "Some alternatives for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 127-132, December.
- Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
- Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed, 2003. "Compound Poisson approximations for individual models with dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 73-91, February.
- Denuit, Michel & Lefevre, Claude & Utev, Sergey, 2002. "Measuring the impact of dependence between claims occurrences," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 1-19, February.
- Chan, Wai-Sum & Yang, Hailiang & Zhang, Lianzeng, 2003. "Some results on ruin probabilities in a two-dimensional risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 345-358, July.
- Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
- Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
- Yuen, K. C. & Guo, J. Y., 2001. "Ruin probabilities for time-correlated claims in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 47-57, August.
- Carriere, Jacques F., 1997. "Testing independence in bivariate distributions of claim frequencies and severities," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 81-89, October.
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