Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions

DOI10.1007/s11009-011-9219-xzbMath1258.91102MaRDI QIDQ1930449

Riccardo Gatto

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/

zbMATH Keywords

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

Mathematics Subject Classification ID

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Related Items

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

Uses Software

• CircStats
• circular

Cites Work

• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
• One-step saddlepoint approximations for quantiles
• A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
• The generalized von Mises distribution
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Saddle point approximation for the distribution of the sum of independent random variables
• The modified signed likelihood statistic and saddlepoint approximations
• Saddlepoint Approximations in Statistics
• Moment generating functions of compound renewal sums with discounted claims
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