A Gaussian Exponential Approximation to Some Compound Poisson Distributions
A Gaussian Exponential Approximation to Some Compound Poisson Distributions
A three parameter Gaussian exponential approximation to some compound Poisson distributions is considered. It is constructed by specifying the reciprocal of the mean excess function as a linear affine function below some threshold and a positive constant above this threshold. As an analytical approximation to compound Poisson distributions, it is …