On the stop-loss and total variation distances between random sums
The purpose of this work is to provide upper bounds on the stop-loss and total variation distances between random sums. The main theoretical argument consists in defining discrete analogs of the classical ideal metrics considered by Rachev and Rüschendorf (Adv. Appl. Probab. 22 (1990) 350). An application in risk theory enhances the relevance of the approach proposed in this paper.
Year of publication: |
2001
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Authors: | Denuit, Michel ; Van Bellegem, Sébastien |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 53.2001, 2, p. 153-165
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Publisher: |
Elsevier |
Keywords: | Probability metrics Stop-loss distances Total variation distances Random sums s-convex orderings Risk theory |
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