Buchmann, Boris; Grübel, Rudolf
Given a sample from a compound Poisson distribution, we consider
estimation of the corresponding rate parameter and base distribution. This
has applications in insurance mathematics and queueing theory. We propose
a plug-in type estimator that is based on a suitable inversion of the
compounding operation. Asymptotic results for this estimator are obtained
via a local analysis of the decompounding functional.
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