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

Michel Denuit and Sebastien Van Bellegem ()

Statistics & Probability Letters, 2001, vol. 53, issue 2, 153-165

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.

Keywords: Probability; metrics; Stop-loss; distances; Total; variation; distances; Random; sums; s-convex; orderings; Risk; theory (search for similar items in EconPapers)
Date: 2001
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