NP-approximation of risk processes

Abstract

d1. The numerical computation of the non-elementary compound Poisson distribution directly from equation proves to be very laborious. For this reason several approximation methods have been developed. New possibilities to check merits of any approximation method have been opened since a Swedish committee, the so-called convolution committee, has computed correct figures for a1arge sample of various types of risk distributions ([I]). The comparison between correct values and those obtained by an approximation method in consideration gives' a general idea, how effective the suggested approximation method is.