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The compound Poisson random variable's approximation to the individual risk model [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)J. Yang, S. Zhou, Z. Zhang
PublisherElsevier
ISBN / ASINB000RR1TDI
ISBN-13978B000RR1TD9
MarketplaceFrance 🇫🇷
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In this paper we study approximating the total loss associated with the individual insurance risk model by a compound Poisson random variable. By minimizing the expectation of the absolute deviation of the compound Poisson random variable from the true total loss, we investigate not only the optimal compound Poisson random variable but also the numerical calculation of the approximation error. We also discuss the influence of the Poisson parameter on the approximation error.
Description:
In this paper we study approximating the total loss associated with the individual insurance risk model by a compound Poisson random variable. By minimizing the expectation of the absolute deviation of the compound Poisson random variable from the true total loss, we investigate not only the optimal compound Poisson random variable but also the numerical calculation of the approximation error. We also discuss the influence of the Poisson parameter on the approximation error.
