Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes

DOI10.1016/J.MCM.2011.04.024MaRDI QIDQ652877zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Wiener processsaddlepoint approximationcumulant generating functiontrigonometric polynomialcoherent measure of riskzero-modified distributionbirth processcatastrophic eventperiodic intensity

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 5901077 (Why is no real title available?)
• scientific article; zbMATH DE number 3321818 (Why is no real title available?)
• A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
• Approximations for compound Poisson and Pólya processes
• Loss Models
• One-step saddlepoint approximations for quantiles
• 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
• Tail Probability Approximations
• Tempered infinitely divisible distributions and processes

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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