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A Gaussian Exponential Approximation to Some Compound Poisson Distributions
| Content Provider | Scilit |
|---|---|
| Author | Hürlimann, Werner |
| Copyright Year | 2003 |
| Description | 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. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/40A0792DAE605A97C35C048023029213/S0515036100013295a.pdf/div-class-title-a-gaussian-exponential-approximation-to-some-compound-poisson-distributions-div.pdf |
| Ending Page | 55 |
| Page Count | 15 |
| Starting Page | 41 |
| ISSN | 05150361 |
| e-ISSN | 17831350 |
| DOI | 10.1017/s0515036100013295 |
| Journal | ASTIN Bulletin |
| Issue Number | 1 |
| Volume Number | 33 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2003-05-01 |
| Access Restriction | Open |
| Subject Keyword | ASTIN Bulletin Statistics and Probability Compound Poisson Distribution Gauss Density Exponential Density Mean Excess Function loss Transform Analytical Approximation Threshold Parameter |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
