Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

DOI10.1080/00949655.2013.834058zbMath1458.60060OpenAlexW1989579648MaRDI QIDQ5220745

Chantal Peeters, Riccardo Gatto

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/60983/1/GattoPeeters.pdf

zbMATH Keywords

importance samplingPoisson distributionWeibull distributionchange of measuregeometric distributionGamma distributionexponential tiltrare eventscore Monte Carlo method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08) Sums of independent random variables; random walks (60G50) Risk models (general) (91B05)

Related Items (2)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ The stability of the probability of ruin

Uses Software

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Cites Work

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