A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion

DOI10.1016/j.spl.2008.01.072zbMath1151.41314OpenAlexW1998494817MaRDI QIDQ947207

Riccardo Gatto

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.072

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (3)

Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process

Cites Work

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• One-step saddlepoint approximations for quantiles
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• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• Saddle point approximation for the distribution of the sum of independent random variables
• The modified signed likelihood statistic and saddlepoint approximations
• Asymptotic expansions at work
• Saddlepoint approximations for the probability of ruin in finite time
• Saddlepoint Approximations in Statistics

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