Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion (Q1931039)
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scientific article; zbMATH DE number 6128904
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion |
scientific article; zbMATH DE number 6128904 |
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Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion (English)
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24 January 2013
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compound geometric distribution
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cumulant generating function
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Daniels' and Lundberg's exponents
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exponential change of measure
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fast Fourier transform
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importance sampling
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maximal aggregate loss
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Monte Carlo simulation
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saddlepoint approximation
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upper and lower bounds
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