Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

DOI10.1080/00949655.2013.834058MaRDI QIDQ5220745zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

change of measureexponential tiltGamma distributiongeometric distributionimportance samplingPoisson distributionrare eventscore Monte Carlo methodWeibull distribution

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Sums of independent random variables; random walks (60G50) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Risk models (general) (91B05)

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Cites work

• Approximations for compound Poisson and Pólya processes
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
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• Non-life insurance mathematics. An introduction with stochastic processes.
• Numerical Methods in Scientific Computing, Volume I
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations in Statistics
• Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
• Sensitivity Analysis of Insurance Risk Models via Simulation
• Stochastic simulation: Algorithms and analysis
• Tail Probability Approximations
• The score function approach for sensitivity analysis of computer simulation models
• The total claims distribution under inflationary conditions
• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes

Cited in

(7)

• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing
• Improved methods of hazard rate function calculation using saddlepoint approximations
• Limiting saddlepoint relative errors in large deviation regions under purely Tauberian conditions
• Improved measures of the spread of data for some unknown complex distributions using saddlepoint approximations
• Saddle point approximation for the random sum Poisson-Bernoulli model
• Sensitivity estimates for compound sums
• The stability of the probability of ruin

Describes a project that uses

Uses Software

• R
• Mulprec

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