Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes

DOI10.1016/j.mcm.2011.04.024zbMath1228.91036OpenAlexW2002846065MaRDI QIDQ652877

Riccardo Gatto

Publication date: 18 December 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.04.024

zbMATH Keywords

saddlepoint approximationWiener processbirth processcumulant generating functiontrigonometric polynomialcoherent measure of riskzero-modified distributioncatastrophic eventperiodic intensity

Mathematics Subject Classification ID

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