  We obtain Stein approximation bounds for stochastic integrals with respect to
a Poisson random measure over ${\Bbb R}^d$, $d\geq 2$. This approach relies on
third cumulant Edgeworth-type expansions based on derivation operators defined
by the Malliavin calculus for Poisson random measures. The use of third
cumulants can exhibit faster convergence rates than the standard Berry-Esseen
rate for some sequences of Poisson stochastic integrals.
