An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio

R. Michel

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Probability and Risk Models Probability and Statistical Research Insurance, Mortality, Demography, Risk Management

Abstract

Abstract For the case of a portfolio with identical claim amount distributions, Gerber's error bound for the compound Poisson approximation is improved (in the case λ ⩾ 1). The result can also be applied to more general portfolios by partitioning them into homogeneous subportfolios.

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1984Error bounds for the compound poisson approximation

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1996The compound Poisson approximation for a portfolio of dependent risks 1992Error Bounds for Compound Poisson Approximations of the Individual Risk Model

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