A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (Q708790)
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scientific article; zbMATH DE number 5800282
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| English | A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes |
scientific article; zbMATH DE number 5800282 |
Statements
A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes (English)
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14 October 2010
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cumulant generating function
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intensity function
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interest rate
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Monte Carlo
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shot-noise process
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total claim amount
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0.9084966778755188
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0.8514167666435242
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0.8510363101959229
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0.8271592259407043
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