Approximations for compound Poisson and Pólya processes

DOI10.2307/1427123zbMath0576.62098OpenAlexW2328694636MaRDI QIDQ3696357

Paul Embrechts, Makoto Maejima, Jens Ledet Jensen, Jozef L. Teugels

Publication date: 1985

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427123

zbMATH Keywords

portfolioasymptotic expansionsruin theorycompound Poisson processesPólya processEsscher approximationasymptotic saddle-point expansions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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