Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion (Q1931039): Difference between revisions

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Latest revision as of 02:49, 6 July 2024

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Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
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    Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion (English)
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    24 January 2013
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    compound geometric distribution
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    cumulant generating function
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    Daniels' and Lundberg's exponents
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    exponential change of measure
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    fast Fourier transform
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    importance sampling
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    maximal aggregate loss
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    Monte Carlo simulation
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    saddlepoint approximation
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    upper and lower bounds
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