A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes

DOI10.1007/S11009-008-9116-0MaRDI QIDQ708790zbMATH OpenOpenAlexFDO

Authors Riccardo Gatto

Publication date 14 October 2010

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://boris.unibe.ch/118120/

zbMATH Keywords

intensity functionMonte Carlocumulant generating functioninterest rateshot-noise processtotal claim amount

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 3321818 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Approximations for compound Poisson and Pólya processes
• Non-life insurance mathematics. An introduction with stochastic processes.
• Ruin theory with stochastic return on investments
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations in Statistics
• Saddlepoint approximations
• Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
• Simple approximations of ruin probabilities
• Tail Probability Approximations
• The total claims distribution under inflationary conditions

Cited in

(8)

• A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
• Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
• Gamma-related Ornstein–Uhlenbeck processes and their simulation*
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
• Saddlepoint approximations for stopped-sum distributions
• Conditional, non-homogeneous and doubly stochastic compound Poisson processes with stochastic discounted claims
• Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions

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