The compound Poisson approximation for a portfolio of dependent risks

The compound Poisson approximation for a portfolio of dependent risks

A well-known approximation of the aggregate claims distribution in the individual risk theory model with mutually independent individual risks is the compound Poisson approximation. In this paper, we relax the assumption of independency and show that the same compound Poisson approximation will stil...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 1996-05, Vol.18 (1), p.81-85
Hauptverfasser: Goovaerts, M.J., Dhaene, J.
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Compound Poisson approximation
Dependent risks
Economic models
Individual model
Insurance claims
Mathematical analysis
Portfolio management
Risk
Risk management
Studies
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Zusammenfassung:A well-known approximation of the aggregate claims distribution in the individual risk theory model with mutually independent individual risks is the compound Poisson approximation. In this paper, we relax the assumption of independency and show that the same compound Poisson approximation will still perform well under certain circumstances.
ISSN:0167-6687
1873-5959
DOI:10.1016/0167-6687(95)00033-X