THE COMPOUND POISSON APPROXIMATION FOR A PORTFOLIO OF DEPENDENT RISKS

Authors
GOOVAERTS MJ DHAENE J
Citation
Mj. Goovaerts et J. Dhaene, THE COMPOUND POISSON APPROXIMATION FOR A PORTFOLIO OF DEPENDENT RISKS, Insurance. Mathematics & economics, 18(1), 1996, pp. 81-85
Citations number
7
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
18
Issue
1
Year of publication
1996
Pages
81 - 85
Database
ISI
SICI code
0167-6687(1996)18:1<81:TCPAFA>2.0.ZU;2-H
Abstract
A well-known approximation of the aggregate claims distribution in the individual risk theory model with mutually independent individual ris ks is the compound Poisson approximation. In this paper, we relax the assumption of independency and show that the same compound Poisson app roximation will still perform well under certain circumstances.