Saddlepoint approximations for the probability of ruin in finite time
DOI10.1080/03461238.1995.10413956zbMATH Open0836.62082OpenAlexW2065574622MaRDI QIDQ4863016FDOQ4863016
Authors: Hanspeter Schmidli, Ole E. 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
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ruin timesaddlepoint approximationscumulant functionCramer-Lundberg risk modeldouble Laplace-Stieltjes transformexponentially distributed claimsGamma distributed claims
Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)
Cites Work
- On a formula for the distribution of the maximum likelihood estimator
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- Modified signed log likelihood ratio
- Saddlepoint methods and statistical inference. With comments and a rejoinder by the author
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- Saddlepoint expansions for conditional distributions
- Saddle point approximation for the distribution of the sum of independent random variables
- Tail Probability Approximations
- Diffusion approximations for a risk process with the possibility of borrowing and investment
- Uniform saddlepoint approximations
Cited In (19)
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- 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
- Approximations for the probability of ruin within finite time
- Large deviations results for subexponential tails, with applications to insurance risk
- Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
- An optimization approach to adaptive multi-dimensional capital management
- Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
- 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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