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Decompounding: an estimation problem for Poisson random sums

Buchmann, Boris; Grübel, Rudolf

Description

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.

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
URI: http://hdl.handle.net/1885/99989
Source: The Annals of Statistics
DOI: 10.1214/aos/1059655905

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