Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
DOI10.1016/J.MCM.2011.04.024zbMATH Open1228.91036OpenAlexW2002846065MaRDI QIDQ652877FDOQ652877
Authors: Riccardo Gatto 
Publication date: 18 December 2011
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.04.024
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Cites Work
- Tempered infinitely divisible distributions and processes
- Title not available (Why is that?)
- Loss Models
- Saddlepoint Approximations in Statistics
- Saddle point approximation for the distribution of the sum of independent random variables
- Tail Probability Approximations
- Title not available (Why is that?)
- Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
- One-step saddlepoint approximations for quantiles
- A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
- Approximations for compound Poisson and Pólya processes
- Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
Cited In (5)
- Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- EVALUATING THE TAIL RISK OF MULTIVARIATE AGGREGATE LOSSES
- Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
- Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
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