Saddlepoint approximations to the distribution of the total claim amount in some recent risk models

DOI10.1080/03461238.1991.10413889zbMath0780.62081OpenAlexW2049550465MaRDI QIDQ4034592

Jens Ledet Jensen

Publication date: 16 May 1993

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1991.10413889

zbMATH Keywords

saddlepoint approximationtail probabilitylattice distributionrisk theoryGaussian random variablecompound sumtotal claim amountlog-concave densityclaim processEsscher approximationconjugate distributionclaim amount distributioninflationary conditionsMarkov modulated risk processPoisson sumsfluctuations in the premium

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Approximations for compound Poisson and Pólya processes
• Uniform saddlepoint approximations