Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
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Publication:1930449
DOI10.1007/s11009-011-9219-xzbMath1258.91102MaRDI QIDQ1930449
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/
Monte Carlo simulation; Fourier series; von Mises distribution; interest rate; cumulant generating function; trigonometric polynomial; circular distribution; total claim amount; flat-topped distribution; wrapped \(\alpha \)-stable distribution
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators, Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods, Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
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Cites Work
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