Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods (Q479171): Difference between revisions

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-Riccardo Gatto
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-Benjamin Baumgartner
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+Computational methods in risk theory: a matrix-algorithmic approach
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+Saddlepoint approximations for the probability of ruin in finite time
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+Erratum: Coherent and convex risk measures for unbounded càdlàg processes
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+An Algorithm for the Machine Calculation of Complex Fourier Series
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+Saddlepoint Approximations in Statistics
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+Risk theory for the compound Poisson process that is perturbed by diffusion
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+A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
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+Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
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+Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
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+Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
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+The modified signed likelihood statistic and saddlepoint approximations
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+Loss Models
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+Saddle point approximation for the distribution of the sum of independent random variables
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+One-step saddlepoint approximations for quantiles
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+Publication:479171