Back to Search Start Over

Compound Poisson Approximation to Convolutions of Compound Negative Binomial Variables.

Authors :
Upadhye, N.
Vellaisamy, P.
Source :
Methodology & Computing in Applied Probability; Dec2014, Vol. 16 Issue 4, p951-968, 18p
Publication Year :
2014

Abstract

In this paper, the problem of compound Poisson approximation to the convolution of compound negative binomial distributions, under total variation distance, is considered. First, we obtain an error bound using the method of exponents and it is compared with existing ones. It is known that Kerstan's method is more powerful in compound approximation problems. We employ Kerstan's method to obtain better estimates, using higher-order approximations. These bounds are of higher-order accuracy and improve upon some of the known results in the literature. Finally, an interesting application to risk theory is discussed. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
13875841
Volume :
16
Issue :
4
Database :
Complementary Index
Journal :
Methodology & Computing in Applied Probability
Publication Type :
Academic Journal
Accession number :
99000411
Full Text :
https://doi.org/10.1007/s11009-013-9352-9