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On Error Bounds for Approximations to Multivariate Distributions II

Published online by Cambridge University Press:  29 August 2014

Bjørn Sundt  and
Raluca Vernic
Bjørn Sundt
Affiliation:
Vital Forsikring ASA, P.O.Box 250, N-1326 Lysaker, Norway
Raluca Vernic
Affiliation:
Department of Mathematics and Informatics, ‘Ovidius’ University of Constanta, 124, Bd. Mamaia, 8700 Constanta, Romania
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Abstract

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In the present paper, we study error bounds for approximations to multivariate distributions. In particular, we discuss some general versions of compound multivariate distributions and look at distributions of dependent random variables constructed by linear transforms of independent random variables or vectors. Special attention is paid to the case when the support of the original distribution is restricted. We also look at some applications with multivariate Bernoulli distributions.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 32 , Issue 1 , May 2002 , pp. 57 - 69
Copyright
Copyright © International Actuarial Association 2002

References

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