Confidence bounds for compound Poisson process

Abstract The compound Poisson process (CPP) is a common mathematical model for describing many phenomena in medicine, reliability theory and risk theory. However, in the case of low-frequency phenomena, we are often unable to collect a sufficiently large database to conduct analysis. In this article, we focused on methods for determining confidence intervals for the rate of the CPP when the sample size is small. Based on the properties of process parameter estimators, we proposed a new method for constructing such intervals and compared it with other known approaches. In numerical simulations, we used synthetic data from several continuous and discrete distributions. The case of CPP, in which rewards came from exponential distribution, was discussed separately. The recommendation of how to use each method to have a more precise confidence interval is given. All simulations were performed in R version 4.2.1.