Approximation of the fixed-probability level for a compound renewal process
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Publication:6341758
arXiv2006.00370MaRDI QIDQ6341758
Publication date: 30 May 2020
Abstract: Dealing with compound renewal process with generally distributed jump sizes and inter-renewal intervals, we focus on the approximation for the fixed-probability level, which is the core of inverse level crossing problem. We are developing an analytical technique presented in [15]-[17] and based on Kendall's identity; this yields (see [18]) inverse Gaussian approximation in the direct level crossing problem. These issues are of great importance in risk theory.
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