
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.
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
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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