compounded distribution
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CONVERGENCE RATES IN APPROXIMATING A COMPOUND DISTRIBUTION

Probability in the Engineering and Informational Sciences ◽

10.1017/s026996480418203x ◽

2004 ◽

Vol 18 (2) ◽

pp. 185-190

Author(s):

John E. Angus

Keyword(s):

Convergence Rates ◽

Recursive Formula ◽

Rates Of Convergence ◽

Tail Probability ◽

Insurance Risk ◽

Compound Distribution ◽

Compounded Distribution

In connection with the classical insurance risk problem, Ross [2] develops a recursive formula for approximating a tail probability in a geometrically compounded distribution. Here, we consider rates of convergence for this approximation.