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On the stop-loss and total variation distances between random sums

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Author Info
Denuit, Michel
Van Bellegem, Sébastien

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Abstract

The purpose of this work is to provide upper bounds on the stop-loss and total variation distances between random sums. The main theoretical argument consists in defining discrete analogs of the classical ideal metrics considered by Rachev and Rüschendorf (Adv. Appl. Probab. 22 (1990) 350). An application in risk theory enhances the relevance of the approach proposed in this paper.

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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 53 (2001)
Issue (Month): 2 (June)
Pages: 153-165
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Handle: RePEc:eee:stapro:v:53:y:2001:i:2:p:153-165

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Related research
Keywords: Probability metrics Stop-loss distances Total variation distances Random sums s-convex orderings Risk theory;

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