Saddlepoint approximations for the probability of ruin in finite time
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Publication:4863016
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
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)
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