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dc.contributor.authorKrätschmer, Volkeren_US
dc.contributor.authorZähle, Henryken_US
dc.description.abstractA simple and commonly used method to approximate the total claim distribution of a (possible 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 measure. We focus on the rate of the convergence of the error relative to the number of clients, we specify the relative error's asymptotic distribution, and we illustrate our results by means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as distribution-invariant coherent risk measures.en_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2010,033en_US
dc.subject.keywordtotal claim distributionen_US
dc.subject.keyword[phi]- and [alpha]-mixing sequences of random variablesen_US
dc.subject.keywordnormal approximationen_US
dc.subject.keywordnonuniform Berry-Esseen inequalityen_US
dc.subject.keyworddistortion risk measureen_US
dc.subject.keywordcoherent risk measureen_US
dc.subject.keywordrobust representationen_US
dc.subject.stwVersicherungstechnisches Risikoen_US
dc.subject.stwStatistische Verteilungen_US
dc.subject.stwStatistischer Fehleren_US
dc.subject.stwRobustes Verfahrenen_US
dc.titleSensitivity of risk measures with respect to the normal approximation of total claim distributionsen_US
dc.typeWorking Paperen_US
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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