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Astin Bulletin
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Astin Bulletin
Article . 2003 . Peer-reviewed
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Article . 2003
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A Gaussian Exponential Approximation to Some Compound Poisson Distributions

A Gaussian exponential approximation to some compound Poisson distributions
Authors: Hürlimann, Werner;

A Gaussian Exponential Approximation to Some Compound Poisson Distributions

Abstract

A three parameter Gaussian exponential approximation to some compound Poisson distributions is considered. It is constructed by specifying the reciprocal of the mean excess function as a linear affine function below some threshold and a positive constant above this threshold. As an analytical approximation to compound Poisson distributions, it is only feasible either for a limited range of the Poisson parameter or for higher coefficients of variation. A semiparametric determination of the unknown threshold parameter is proposed. The analysis of a real-life example from pension fund mathematics displays an improved quality of fit of the new model when compared with other simple good alternative approximations based on the zero gamma, translated gamma and zero translated gamma.

Country
Switzerland
Related Organizations
Keywords

Applications of statistics to actuarial sciences and financial mathematics, Gauss density, Asymptotic distribution theory in statistics, analytical approximation, compound Poisson distribution, mean excess function, Approximations to statistical distributions (nonasymptotic), threshold parameter, exponential density, stop-loss transform

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
Green
bronze