A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (Q708790): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 01:02, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes |
scientific article |
Statements
A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (English)
0 references
14 October 2010
0 references
cumulant generating function
0 references
intensity function
0 references
interest rate
0 references
Monte Carlo
0 references
shot-noise process
0 references
total claim amount
0 references
