Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions (Q1930449)
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scientific article; zbMATH DE number 6124583
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| English | Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions |
scientific article; zbMATH DE number 6124583 |
Statements
Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions (English)
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11 January 2013
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circular distribution
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cumulant generating function
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flat-topped distribution
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Fourier series
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interest rate
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Monte Carlo simulation
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total claim amount
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trigonometric polynomial
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von Mises distribution
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wrapped \(\alpha \)-stable distribution
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0.9084966778755188
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0.8329828977584839
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0.8324158191680908
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0.8025495409965515
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