Saddlepoint approximations for the probability of ruin in finite time

DOI10.1080/03461238.1995.10413956zbMath0836.62082OpenAlexW2065574622MaRDI QIDQ4863016

Hanspeter Schmidli, Ole Eiler Barndorff-Nielsen

Publication date: 6 May 1996

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1995.10413956

zbMATH Keywords

ruin timesaddlepoint approximationscumulant functionCramer-Lundberg risk modeldouble Laplace-Stieltjes transformexponentially distributed claimsGamma distributed claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (13)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Large deviations results for subexponential tails, with applications to insurance risk ⋮ Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ The stability of the probability of ruin ⋮ Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods ⋮ Adaptive control strategies and dependence of finite time ruin on the premium loading ⋮ A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion ⋮ An optimization approach to adaptive multi-dimensional capital management ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ The probability of ruin in finite time ⋮ Approximations for Finite Horizon Ruin Probabilities in the Renewal Model

Cites Work

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• Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
• On a formula for the distribution of the maximum likelihood estimator
• Modified signed log likelihood ratio
• Saddlepoint expansions for conditional distributions
• Uniform saddlepoint approximations
• Saddle point approximation for the distribution of the sum of independent random variables
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• Tail Probability Approximations

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