Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions

DOI10.1007/s11009-011-9219-xzbMath1258.91102OpenAlexW2068872785MaRDI QIDQ1930449

Riccardo Gatto

Publication date: 11 January 2013

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/17994/

zbMATH Keywords

Monte Carlo simulationFourier seriesvon Mises distributioninterest ratecumulant generating functiontrigonometric polynomialcircular distributiontotal claim amountflat-topped distributionwrapped \(\alpha \)-stable distribution

Mathematics Subject Classification ID

Related Items (3)

Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes ⋮ Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods ⋮ Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

Uses Software

• CircStats
• circular

Cites Work

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• The generalized von Mises distribution
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Saddle point approximation for the distribution of the sum of independent random variables
• The modified signed likelihood statistic and saddlepoint approximations
• Saddlepoint Approximations in Statistics
• Moment generating functions of compound renewal sums with discounted claims

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