| Title |
Asymptotics for the sum of three state Markov dependent random variables / |
| Authors |
Liaudanskaitė, Gabija ; Čekanavičius, Vydas |
| DOI |
10.15559/18-VMSTA123 |
| Full Text |
|
| Is Part of |
Modern stochastics: theory and applications.. Vilnius : VTeX. 2019, vol. 6, iss. 1, p. 109-131.. ISSN 2351-6046. eISSN 2351-6054 |
| Keywords [eng] |
signed compound Poisson approximation ; insurance model ; Markov chain ; Kolmogorov norm ; local norm ; total variation norm ; non-uniform estimate |
| Abstract [eng] |
The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the aggregate claims distribution after n ∈ N periods. In a particular case, the accuracy of estimates in total variation and non-uniform estimates are shown to be at least of order O(1/n). The characteristic function method is used. The results can be applied to estimate the probable loss of an insurer to optimize an insurance premium. |
| Published |
Vilnius : VTeX |
| Type |
Journal article |
| Language |
English |
| Publication date |
2019 |
| CC license |
|
