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Asymptotic Behaviour of Compound Distributions

Published online by Cambridge University Press:  29 August 2014

Paul Embrechts ,
Makoto Maejima  and
Jozef L. Teugels
Paul Embrechts
Affiliation:
Imperial College, London, U.K.
Makoto Maejima
Affiliation:
Keio University, Yokohama, Japan
Jozef L. Teugels
Affiliation:
Departement Wiskunde, KUL, Leuven, Belgium
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Abstract

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We improve on some results of Sundt (1982) on the asymptotic behaviour of compound negative binomial distributions.

Keywords

Compound negative binomial distributionsrenewal theoryasymptotic estimates
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 15 , Issue 1 , April 1985 , pp. 45 - 48
Copyright
Copyright © International Actuarial Association 1985

References

Embrechts, P., Maejima, M. and Omey, E. (1984) A Renewal Theorem of Blackwell Type. Annals of Probability 12, 561–570.CrossRefGoogle Scholar
Sundt, B. (1982) Asymptotic Behaviour of Compound Distributions and Stop-Loss Premiums. Astin Bulletin 13, 89–98.CrossRefGoogle Scholar
Teugels, J.L. (1985) Selected Topics in Insurance Mathematics. Lecture Notes: Catholic University of Leuven (Belgium), Department of Mathematics, to appear.Google Scholar