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Some approximation methods for the distribution of random sums |
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| Authors: | R von Chossy G Rappl |
| Institution: | Hochschule der Bundeswehr, Neubiberg, West Germany |
| Abstract: | This paper deals with approximation methods for the distribution of random sums, a subject being of high interest especially in actuarial mathematics (distribution of the total claim during a fixed time interval). Above all the authors intended to deliver rigid proofs for some propositions (such as Esscher and Edgeworth approximation) which are established in relevant articles frequently only in heuristic manner. |
| Keywords: | Random sums Compound Poisson distribution Central limit theorem Berry-Esseen theorem Edgeworth expansion Esscher approximation |
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