Saddlepoint approximations for the probability of ruin in finite time
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Cites work
- scientific article; zbMATH DE number 4100386 (Why is no real title available?)
- scientific article; zbMATH DE number 735225 (Why is no real title available?)
- Diffusion approximations for a risk process with the possibility of borrowing and investment
- Modified signed log likelihood ratio
- On a formula for the distribution of the maximum likelihood estimator
- Saddle point approximation for the distribution of the sum of independent random variables
- Saddlepoint expansions for conditional distributions
- Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
- Tail Probability Approximations
- Uniform saddlepoint approximations
Cited in
(19)- scientific article; zbMATH DE number 2101195 (Why is no real title available?)
- Recovery of ruin probability and value at risk from the scaled Laplace transform inversion
- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
- Corrected normal approximation for the probability of ruin within finite time
- Large deviations results for subexponential tails, with applications to insurance risk
- Approximations for the probability of ruin within finite time
- Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
- Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
- An optimization approach to adaptive multi-dimensional capital management
- Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- Adaptive control strategies and dependence of finite time ruin on the premium loading
- The stability of the probability of ruin
- On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
- Padé approximants for finite time ruin probabilities
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- The probability of ruin in finite time
- A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
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