Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion

DOI10.1007/S11009-014-9412-9MaRDI QIDQ267897zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Laplace transformimportance samplingconditional distributionlarge deviationsMonte Carlo simulationdiffusioncompound Poisson risk processcumulant generating functionGerber-Shiu functionsaddlepoint approximations

Mathematics Subject Classification ID

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)

• scientific article; zbMATH DE number 2101195 (Why is no real title available?)
• Saddlepoint approximations for the probability of ruin in finite time
• Uncertainty quantification of stochastic simulation for black-box computer experiments
• Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
• scientific article; zbMATH DE number 7642016 (Why is no real title available?)
• 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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