A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (Q708790): Difference between revisions

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Latest revision as of 08:45, 3 July 2024

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A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
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    A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (English)
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    14 October 2010
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    cumulant generating function
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    intensity function
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    interest rate
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    Monte Carlo
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    shot-noise process
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    total claim amount
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