Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions

DOI10.1017/jpr.2019.19zbMath1418.60010OpenAlexW2961846214MaRDI QIDQ4968524

Ronald W. Butler

Publication date: 15 July 2019

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

Full work available at URL: https://doi.org/10.1017/jpr.2019.19

zbMATH Keywords

saddlepoint approximationasymptotic expansionsteepest descentanalytic continuationruin probabilitymoment generating functioncompound distributionCramér-Lundberg approximationPollaczek-Khintchine formulatransform inversionSparre AndersenWilks' likelihood ratio test

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Related Items

Exponential and gamma form for tail expansions of first-passage distributions in semi-markov processes ⋮ Residue expansions and saddlepoint approximations in stochastic models using the analytic continuation of generating functions ⋮ Asymptotic expansions and saddlepoint approximations using the analytic continuation of moment generating functions

Uses Software

• MCQueue

Cites Work

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