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  • Search: subject:"φ- and α-mixing sequences of random variables"
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Coherent risk measure 1 Distortion risk measure 1 Nonuniform Berry–Esseen inequality 1 Normal approximation 1 Robust representation 1 Total claim distribution 1 φ- and α-mixing sequences of random variables 1
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Krätschmer, Volker 1 Zähle, Henryk 1
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Insurance: Mathematics and Economics 1
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Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker; Zähle, Henryk - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 335-344
A simple and commonly used method to approximate the total claim distribution of a (possibly weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...
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