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CONVERGENCE RATES IN APPROXIMATING A COMPOUND DISTRIBUTION

Published online by Cambridge University Press:  16 April 2004

John E. Angus
John E. Angus
Affiliation:
Department of Mathematics, School of Mathematical Sciences, Claremont Graduate University, Claremont, California, 91711-3988, E-mail: john.angus@cgu.edu
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Abstract

In connection with the classical insurance risk problem, Ross [2] develops a recursive formula for approximating a tail probability in a geometrically compounded distribution. Here, we consider rates of convergence for this approximation.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 18 , Issue 2 , April 2004 , pp. 185 - 190
Copyright
© 2004 Cambridge University Press

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References

REFERENCES

Ross, S.M. (1987). Approximations in renewal theory. Probability in the Engineering and Informational Sciences 1(2): 163–173.Google Scholar
Ross, S.M. (2003). A note on the insurance risk problem. Probability in the Engineering and Informational Sciences 17(2): 199–203.Google Scholar
Gerber, H. (1979). Introduction to mathematical risk theory. Philadelphia: University of Pennsylvania Press.
Klugman, S., Panjer, H., & Willmot, G.E. (1991). Loss models, from data to decisions. New York: Wiley.