Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
DOI10.1080/00949655.2013.834058zbMATH Open1458.60060OpenAlexW1989579648MaRDI QIDQ5220745FDOQ5220745
Authors: Riccardo Gatto, Chantal Peeters 
Publication date: 27 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://boris.unibe.ch/60983/1/GattoPeeters.pdf
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Poisson distributionimportance samplingWeibull distributionchange of measuregeometric distributionexponential tiltGamma distributionrare eventscore Monte Carlo method
Computational methods for problems pertaining to probability theory (60-08) Monte Carlo methods (65C05) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Risk models (general) (91B05)
Cites Work
- Stochastic simulation: Algorithms and analysis
- Saddlepoint Approximations in Statistics
- Numerical Methods in Scientific Computing, Volume I
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- Non-life insurance mathematics. An introduction with stochastic processes.
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- The total claims distribution under inflationary conditions
- Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
- Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
- Approximations for compound Poisson and Pólya processes
- Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
- The score function approach for sensitivity analysis of computer simulation models
- Sensitivity Analysis of Insurance Risk Models via Simulation
Cited In (7)
- Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
- Improved measures of the spread of data for some unknown complex distributions using saddlepoint approximations
- Improved methods of hazard rate function calculation using saddlepoint approximations
- Sensitivity estimates for compound sums
- The stability of the probability of ruin
- Saddle point approximation for the random sum Poisson-Bernoulli model
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