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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large deviations | |||
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compound Poisson risk process | |||
| Property / zbMATH Keywords: compound Poisson risk process / rank | |||
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saddlepoint approximations | |||
| Property / zbMATH Keywords: saddlepoint approximations / rank | |||
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diffusion | |||
| Property / zbMATH Keywords: diffusion / rank | |||
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conditional distribution | |||
| Property / zbMATH Keywords: conditional distribution / rank | |||
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cumulant generating function | |||
| Property / zbMATH Keywords: cumulant generating function / rank | |||
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Gerber-Shiu function | |||
| Property / zbMATH Keywords: Gerber-Shiu function / rank | |||
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importance sampling | |||
| Property / zbMATH Keywords: importance sampling / rank | |||
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Laplace transform | |||
| Property / zbMATH Keywords: Laplace transform / rank | |||
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Monte Carlo simulation | |||
| Property / zbMATH Keywords: Monte Carlo simulation / rank | |||
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Revision as of 14:53, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion |
scientific article |
Statements
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion (English)
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12 April 2016
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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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