Optimal upper and lower bounds for the upper tails of compound Poisson processes

DOI10.1023/A:1022696125272zbMath0919.60052MaRDI QIDQ1266793

Michael J. Klass, Marjorie G. Hahn

Publication date: 23 August 1999

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

compound Poisson processEsscher transformapproximation of exceedance level

Mathematics Subject Classification ID

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

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