Results 21 to 30 of about 30,813 (269)
A Tandem Fluid Network with L\'evy Input in Heavy Traffic [PDF]
, 2015 In this paper we study the stationary workload distribution of a fluid tandem queue in heavy traffic. We consider different types of L\'evy input, covering compound Poisson, $\alpha$-stable L\'evy motion (with ...
Boxma, Onno J. +2 more
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The Stability of the Aggregate Loss Distribution
Risks, 2018 In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands ...
Riccardo Gatto
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Statistics of weighted Poisson events and its applications [PDF]
, 2013 The statistics of the sum of random weights where the number of weights is Poisson distributed has important applications in nuclear physics, particle physics and astrophysics.
Bohm, G., Zech, G.
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A Compound Poisson Approximation Inequality [PDF]
Journal of Applied Probability, 2006 We give conditions under which the number of events which occur in a sequence ofm-dependent events is stochastically smaller than a suitably defined compound Poisson random variable. The results are applied to counts of sequence pattern appearances and to system reliability. We also provide a numerical example.
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Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
Journal of Applied Mathematics, 2003 A considerable number of equivalent formulas defining conditional value-at-risk and expected shortfall are gathered together. Then we present a simple method to bound the conditional value-at-risk of compound Poisson loss distributions under incomplete ...
Werner Hürlimann
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Compound Poisson Approximation via Information Functionals
Electronic Journal of Probability, 2010 An information-theoretic development is given for the problem of compound Poisson approximation, which parallels earlier treatments for Gaussian and Poisson approximation. Let $P_{S_n}$ be the distribution of a sum $S_n=\Sumn Y_i$ of independent integer-valued random variables $Y_i$.
Barbour, AD +3 more
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Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Journal of Inequalities and Applications, 2016 In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic ...
Jianhua Cheng, Yanwei Gao, Dehui Wang
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On compound Poisson approximations
Lietuvos matematikos rinkinys, 1998 There is not abstract.
Kruopis, Julius Jonas +1 more
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Estimating Stein's Constants for Compound Poisson Approximation [PDF]
Bernoulli, 2000 Stein's method for compound Poisson approximation was introduced by \textit{A.D. Barbour}, \textit{L.H.Y. Chen} and \textit{W.-L. Loh} [Ann. Probab. 20, No. 4, 1843-1866 (1992; Zbl 0765.60015)]. One difficulty in applying the method is that the bounds on the solutions of the Stein equation are by no means as good as for the Poisson approximation. Here,
Barbour, A. D., Xia, Aihua
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On Stein's method and perturbations [PDF]
, 2007 Stein’s (1972) method is a very general tool for assessing the quality of approximation of the distribution of a random element by another, often simpler, distribution.
Barbour, A D, Cekanavicius, V, Xia, A
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