Empirical Laplace transform and approximation of compound distributions
DOI10.2307/3214597zbMATH Open0703.62033OpenAlexW4230035933MaRDI QIDQ3482701FDOQ3482701
Authors: Sándor Csörgő, J. L. Teugels
Publication date: 1990
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/3995
Recommendations
- scientific article; zbMATH DE number 3862232
- The normal Laplace approximation to compound distributions
- Approximation of probabilistic Laplace transforms and their inverses
- scientific article; zbMATH DE number 404496
- On Laplace transforms of some probability densities
- Approximation and estimation of some compound distributions
- scientific article; zbMATH DE number 38928
- Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
- Approximating the Laplace transform of the sum of dependent lognormals
- Distribution with a simple Laplace transform and its applications to non-Poissonian stochastic processes
Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
Cited In (29)
- A NEW GOODNESS OF FIT TEST FOR THE BETA DISTRIBUTION BASED ON THE EMPIRICAL LAPLACE TRANSFORM
- Estimation of the expected discounted penalty function for Lévy insurance risks
- A nonparametric test for exponentiality in LIFRA class of life distributions
- Goodness-of-fit tests for the gamma distribution based on the empirical Laplace transform
- Asymptotically balanced functions and the asymptotic behaviour of the complementary function and the Laplace transform
- On the estimation of spread rate for a biological population
- On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
- Title not available (Why is that?)
- Esscher-transformed Laplace distribution revisited
- Monitoring risk in a ruin model perturbed by diffusion
- Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model
- Review of statistical actuarial risk modelling
- The average virtual waiting time as a measure of performance
- A bootstrap procedure for estimating the adjustment coefficients
- Estimating the stationary distribution in a \(GI/M/1\)-queue
- Convergence rates of Laplace-transform based estimators
- Approximating the Laplace transform of the sum of dependent lognormals
- A note on Bahadur-Kiefer-type expansions for the inverse empirical Laplace transform
- Estimating parameters for discrete distributions via the empirical probability generating function
- On the deficit distribution when ruin occurs -- discrete time model
- The normal Laplace approximation to compound distributions
- The delta-method for actuarial statistics
- Title not available (Why is that?)
- Empirical probability generating function. An overview
- Estimation of the maximal moment exponent of a GARCH(1,1) sequence
- Nonparametric estimation for derivatives of compound distribution
- Feller-Ross-Approximation für Summenverteilungen
- On Some alternative estimates of the adjustment coefficient in risk theory
- Title not available (Why is that?)
This page was built for publication: Empirical Laplace transform and approximation of compound distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3482701)