Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
DOI10.1007/S11009-014-9412-9zbMATH Open1336.60052OpenAlexW2020198323MaRDI QIDQ267897FDOQ267897
Authors: Riccardo Gatto, Benjamin Baumgartner 
Publication date: 12 April 2016
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://boris.unibe.ch/73010/8/paper4.pdf
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Laplace transformimportance samplingconditional distributionlarge deviationsMonte Carlo simulationdiffusioncompound Poisson risk processcumulant generating functionGerber-Shiu functionsaddlepoint approximations
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)
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Cited In (12)
- Title not available (Why is that?)
- Saddlepoint approximations for the probability of ruin in finite time
- Uncertainty quantification of stochastic simulation for black-box computer experiments
- Title not available (Why is that?)
- Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
- Moment and polynomial bounds for ruin-related quantities in risk theory
- The stability of the probability of ruin
- Dividend maximization under a set ruin probability target in the presence of proportional and excess-of-loss reinsurance
- Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
- A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
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