Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion (Q267897): Difference between revisions

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English	Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion	scientific article

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title

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion (English)

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Methodology and Computing in Applied Probability

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publication date

12 April 2016

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full work available at URL

https://boris.unibe.ch/73010/8/paper4.pdf

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zbMATH Keywords

large deviations

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compound Poisson risk process

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saddlepoint approximations

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diffusion

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conditional distribution

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cumulant generating function

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Gerber-Shiu function

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importance sampling

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Laplace transform

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Monte Carlo simulation

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MaRDI profile type

MaRDI publication profile

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cites work

Conjugate processes and the simulation of ruin problems

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Q3560912

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Stochastic simulation: Algorithms and analysis

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Computational methods in risk theory: a matrix-algorithmic approach

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Q3742485

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Q3486650

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Q3203851

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Modified signed log likelihood ratio

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Saddlepoint approximations for the probability of ruin in finite time

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On a generalization of the Gerber-Shiu function to path-dependent penalties

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Saddlepoint Approximations in Statistics

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Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix

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Risk theory for the compound Poisson process that is perturbed by diffusion

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An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

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On a generalization from ruin to default in a Lévy insurance risk model

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Q4001813

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Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods

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A Conditional Saddlepoint Approximation for Testing Problems

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Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion

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Q5637709

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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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The modified signed likelihood statistic and saddlepoint approximations

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Q2859015

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The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

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Saddle point approximation for the distribution of the sum of independent random variables

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Q4230625

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Q4489978

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Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

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Importance sampling in the Monte Carlo study of sequential tests

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Saddlepoint expansions for conditional distributions

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Erlangian approximation to finite time ruin probabilities in perturbed risk models

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Identifiers

zbMATH Open document ID

1336.60052

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DOI

10.1007/s11009-014-9412-9

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Conjugate processes and the simulation of ruin problems
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@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Computational methods in risk theory: a matrix-algorithmic approach
+Normal rank
@@ Property / cites work @@
+Q3742485
@@ Property / cites work: Q3742485 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3486650
@@ Property / cites work: Q3486650 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3203851
@@ Property / cites work: Q3203851 / rank @@
+Normal rank
@@ Property / cites work @@
+Modified signed log likelihood ratio
@@ Property / cites work: Modified signed log likelihood ratio / rank @@
+Normal rank
@@ Property / cites work @@
+Saddlepoint approximations for the probability of ruin in finite time
+Normal rank
@@ Property / cites work @@
+On a generalization of the Gerber-Shiu function to path-dependent penalties
+Normal rank
@@ Property / cites work @@
+Saddlepoint Approximations in Statistics
@@ Property / cites work: Saddlepoint Approximations in Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
+Normal rank
@@ Property / cites work @@
+On a generalization from ruin to default in a Lévy insurance risk model
+Normal rank
@@ Property / cites work @@
+Q4001813
@@ Property / cites work: Q4001813 / rank @@
+Normal rank
@@ Property / cites work @@
+Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
+Normal rank
@@ Property / cites work @@
+A Conditional Saddlepoint Approximation for Testing Problems
+Normal rank
@@ Property / cites work @@
+Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
+Normal rank
@@ Property / cites work @@
+Q5637709
@@ Property / cites work: Q5637709 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
+Normal rank
@@ Property / cites work @@
+The modified signed likelihood statistic and saddlepoint approximations
+Normal rank
@@ Property / cites work @@
+Q2859015
@@ Property / cites work: Q2859015 / rank @@
+Normal rank
@@ Property / cites work @@
+The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Saddle point approximation for the distribution of the sum of independent random variables
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4489978
@@ Property / cites work: Q4489978 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model
+Normal rank
@@ Property / cites work @@
+Importance sampling in the Monte Carlo study of sequential tests
+Normal rank
@@ Property / cites work @@
+Saddlepoint expansions for conditional distributions
+Normal rank
@@ Property / cites work @@
+Erlangian approximation to finite time ruin probabilities in perturbed risk models
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:267897