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періодичних видань НАН України
періодичних видань НАН України
Bounds for a sum of random variables under a mixture of normals
Репозиторій DSpace/Manakin
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Bounds for a sum of random variables under a mixture of normals
Посилання:
Bounds for a sum of random variables under a mixture of normals / A. Kukush, M. Pupashenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 82–97. — Бібліогр.: 3 назв.— англ.
Підтримка:
A. Kukush is supported by the grant from the authorities of K.U. Leuven, Belgium, and by the Swedish Institute grant SI-01424/2007.
Дата:
2007
Переглядів:
1168
Завантажень:
544
Анотація:
In two papers: Dhaene et al. (2002). Insurance: Mathematics and Economics 31, pp.3-33 and pp. 133-161, the approximation for sums of random variables (rv’s) was derived for the case where the distribution of the components is lognormal and known, but the stochastic dependence structure is unknown or too cumbersome to work with. In finance and actuarial science a lot of attention is paid to a regime switching model. In this paper we give the approximation for sums under a mixture of normals and consider approximate evaluation of provision under switching regime.
