A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (Q708790)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes |
scientific article |
Statements
A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (English)
0 references
14 October 2010
0 references
cumulant generating function
0 references
intensity function
0 references
interest rate
0 references
Monte Carlo
0 references
shot-noise process
0 references
total claim amount
0 references
0 references
0 references
