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Document Details : Title: An Improved Error Bound for the Compound Poisson Approximation of a Nearly Homogeneous Portfolio Author(s): MICHEL, R. Journal: ASTIN Bulletin Volume: 17 Issue: 2 Date: November 1987 Pages: 165-169 DOI: 10.2143/AST.17.2.2014971 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 of λ ≥ 1). The result can also be applied to more general portfolios by partitioning them into homogeneous subportfolios. |
