An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio

R. Michel

ASTIN Bulletin, 1987, vol. 17, issue 2, 165-169

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.

Date: 1987
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