Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
type: Item
instance of: scholarly article
title: Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods
zbMATH Open document ID: 1307.91097
author: Riccardo Gatto
author: Benjamin Baumgartner
published in: Methodology and Computing in Applied Probability
publication date: 2014-12-05T00:00:00Z
full work available at URL: 11009 2012 Article 9316.pdf
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 65C50
Mathematics Subject Classification ID: 65T50
zbMATH DE Number: 6377129
zbMATH Keywords: coherent measure of risk
zbMATH Keywords: Daniels' exponent
zbMATH Keywords: fast Fourier transform
zbMATH Keywords: Lundberg's exponent
zbMATH Keywords: probability of ruin
zbMATH Keywords: probabilites of ruin due to claim and to oscillation
zbMATH Keywords: Richardson's extrapolation
zbMATH Keywords: saddlepoint approximation
zbMATH Keywords: stability
zbMATH Keywords: upper and lower bounds
describes a project that uses: R
MaRDI profile type: Publication
OpenAlex ID: W2092048807
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DOI: 10.1007/S11009-012-9316-5
description: scientific article; zbMATH DE number 6377129