Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion (Q267897)
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scientific article; zbMATH DE number 6567263
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| English | Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion |
scientific article; zbMATH DE number 6567263 |
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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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0.9295153617858888
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0.904955506324768
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0.9044895768165588
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0.877282977104187
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0.8509226441383362
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