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...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
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
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
container_end_page 85
container_issue 1
container_start_page 81
container_title Insurance, mathematics & economics
container_volume 18
creator Goovaerts, M.J.
Dhaene, J.
description 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.
doi_str_mv 10.1016/0167-6687(95)00033-X
format Article
fullrecord <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38998833</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>016766879500033X</els_id><sourcerecordid>38998833</sourcerecordid><originalsourceid>FETCH-LOGICAL-c504t-fa8e1d5ee9d6d37384a04c2b22fa72d4ead0f8a43c3ac5a570c1c46091f18bc83</originalsourceid><addsrcrecordid>eNp9kE1L9TAQhYMoeP34By6KC_FdVJOmaZONIOIXCLpQcDfEZILR26Ymrbz-e1OvuHDhYjITOOcw8xCyx-gRo6w5ztWWTSPbQyX-UUo5Lx_XyILJlpdCCbVOFj-STbKV0ksWMdW0C3J-_4yFCd0Qpt4Wd8GnFPpCD0MM_32nR59_LsRCF0OIowtLH4rgCosD9hb7sYg-vaYdsuH0MuHud98mDxfn92dX5c3t5fXZ6U1pBK3H0mmJzApEZRvLWy5rTWtTPVWV021la9SWOqlrbrg2QouWGmbqhirmmHwykm-Tg1VuXu9twjRC55PB5VL3GKYEXColJedZuP9L-BKm2OfdoKKSZQ50FtUrkYkhpYgOhphvjh_AKMxgYaYGMzVQAr7AwmO2Xa1sMUMwPx5E9H2aOg3vwDWT-fmYB6Wa3Pw85hpySQZSwPPY5aiTVRRmaO8eIyTjsTdofUQzgg3-710-ARi7mM0</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>208168703</pqid></control><display><type>article</type><title>The compound Poisson approximation for a portfolio of dependent risks</title><source>RePEc</source><source>Elsevier ScienceDirect Journals</source><creator>Goovaerts, M.J. ; Dhaene, J.</creator><creatorcontrib>Goovaerts, M.J. ; Dhaene, J.</creatorcontrib><description>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.</description><identifier>ISSN: 0167-6687</identifier><identifier>EISSN: 1873-5959</identifier><identifier>DOI: 10.1016/0167-6687(95)00033-X</identifier><identifier>CODEN: IMECDX</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Approximation ; Compound Poisson approximation ; Dependent risks ; Economic models ; Individual model ; Insurance claims ; Mathematical analysis ; Portfolio management ; Risk ; Risk management ; Studies</subject><ispartof>Insurance, mathematics &amp; economics, 1996-05, Vol.18 (1), p.81-85</ispartof><rights>1996</rights><rights>Copyright Elsevier Sequoia S.A. May 1996</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c504t-fa8e1d5ee9d6d37384a04c2b22fa72d4ead0f8a43c3ac5a570c1c46091f18bc83</citedby><cites>FETCH-LOGICAL-c504t-fa8e1d5ee9d6d37384a04c2b22fa72d4ead0f8a43c3ac5a570c1c46091f18bc83</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/0167-6687(95)00033-X$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,777,781,3537,3994,27905,27906,45976</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeeinsuma/v_3a18_3ay_3a1996_3ai_3a1_3ap_3a81-85.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Goovaerts, M.J.</creatorcontrib><creatorcontrib>Dhaene, J.</creatorcontrib><title>The compound Poisson approximation for a portfolio of dependent risks</title><title>Insurance, mathematics &amp; economics</title><description>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.</description><subject>Approximation</subject><subject>Compound Poisson approximation</subject><subject>Dependent risks</subject><subject>Economic models</subject><subject>Individual model</subject><subject>Insurance claims</subject><subject>Mathematical analysis</subject><subject>Portfolio management</subject><subject>Risk</subject><subject>Risk management</subject><subject>Studies</subject><issn>0167-6687</issn><issn>1873-5959</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1996</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNp9kE1L9TAQhYMoeP34By6KC_FdVJOmaZONIOIXCLpQcDfEZILR26Ymrbz-e1OvuHDhYjITOOcw8xCyx-gRo6w5ztWWTSPbQyX-UUo5Lx_XyILJlpdCCbVOFj-STbKV0ksWMdW0C3J-_4yFCd0Qpt4Wd8GnFPpCD0MM_32nR59_LsRCF0OIowtLH4rgCosD9hb7sYg-vaYdsuH0MuHud98mDxfn92dX5c3t5fXZ6U1pBK3H0mmJzApEZRvLWy5rTWtTPVWV021la9SWOqlrbrg2QouWGmbqhirmmHwykm-Tg1VuXu9twjRC55PB5VL3GKYEXColJedZuP9L-BKm2OfdoKKSZQ50FtUrkYkhpYgOhphvjh_AKMxgYaYGMzVQAr7AwmO2Xa1sMUMwPx5E9H2aOg3vwDWT-fmYB6Wa3Pw85hpySQZSwPPY5aiTVRRmaO8eIyTjsTdofUQzgg3-710-ARi7mM0</recordid><startdate>19960501</startdate><enddate>19960501</enddate><creator>Goovaerts, M.J.</creator><creator>Dhaene, J.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>JQ2</scope></search><sort><creationdate>19960501</creationdate><title>The compound Poisson approximation for a portfolio of dependent risks</title><author>Goovaerts, M.J. ; Dhaene, J.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c504t-fa8e1d5ee9d6d37384a04c2b22fa72d4ead0f8a43c3ac5a570c1c46091f18bc83</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1996</creationdate><topic>Approximation</topic><topic>Compound Poisson approximation</topic><topic>Dependent risks</topic><topic>Economic models</topic><topic>Individual model</topic><topic>Insurance claims</topic><topic>Mathematical analysis</topic><topic>Portfolio management</topic><topic>Risk</topic><topic>Risk management</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Goovaerts, M.J.</creatorcontrib><creatorcontrib>Dhaene, J.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Computer Science Collection</collection><jtitle>Insurance, mathematics &amp; economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Goovaerts, M.J.</au><au>Dhaene, J.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The compound Poisson approximation for a portfolio of dependent risks</atitle><jtitle>Insurance, mathematics &amp; economics</jtitle><date>1996-05-01</date><risdate>1996</risdate><volume>18</volume><issue>1</issue><spage>81</spage><epage>85</epage><pages>81-85</pages><issn>0167-6687</issn><eissn>1873-5959</eissn><coden>IMECDX</coden><abstract>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.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0167-6687(95)00033-X</doi><tpages>5</tpages><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier ISSN: 0167-6687
ispartof Insurance, mathematics & economics, 1996-05, Vol.18 (1), p.81-85
issn 0167-6687
1873-5959
language eng
recordid cdi_proquest_miscellaneous_38998833
source RePEc; Elsevier ScienceDirect Journals
subjects Approximation
Compound Poisson approximation
Dependent risks
Economic models
Individual model
Insurance claims
Mathematical analysis
Portfolio management
Risk
Risk management
Studies
title The compound Poisson approximation for a portfolio of dependent risks
url https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-19T09%3A03%3A50IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20compound%20Poisson%20approximation%20for%20a%20portfolio%20of%20dependent%20risks&rft.jtitle=Insurance,%20mathematics%20&%20economics&rft.au=Goovaerts,%20M.J.&rft.date=1996-05-01&rft.volume=18&rft.issue=1&rft.spage=81&rft.epage=85&rft.pages=81-85&rft.issn=0167-6687&rft.eissn=1873-5959&rft.coden=IMECDX&rft_id=info:doi/10.1016/0167-6687(95)00033-X&rft_dat=%3Cproquest_cross%3E38998833%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=208168703&rft_id=info:pmid/&rft_els_id=016766879500033X&rfr_iscdi=true