Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
type: Item
instance of: scholarly article
title: Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
zbMATH Open document ID: 1228.91036
author: Riccardo Gatto
published in: Mathematical and Computer Modelling
publication date: 2011-12-18T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5989133
zbMATH Keywords: catastrophic event
zbMATH Keywords: coherent measure of risk
zbMATH Keywords: birth process
zbMATH Keywords: cumulant generating function
zbMATH Keywords: periodic intensity
zbMATH Keywords: saddlepoint approximation
zbMATH Keywords: trigonometric polynomial
zbMATH Keywords: Wiener process
zbMATH Keywords: zero-modified distribution
MaRDI profile type: Publication
full work available at URL: j.mcm.2011.04.024
OpenAlex ID: W2002846065
cites work: Loss Models
cites work: Q5601226
cites work: Approximations for compound Poisson and Pólya processes
cites work: Saddlepoint approximations to the distribution of the total claim amount in some recent risk models
cites work: A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
cites work: Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions
cites work: Q3003679
cites work: Tempered Infinitely Divisible Distributions and Processes
cites work: Saddlepoint Approximations in Statistics
cites work: Saddle point approximation for the distribution of the sum of independent random variables
cites work: One-step saddlepoint approximations for quantiles
cites work: Tail Probability Approximations
DOI: 10.1016/J.MCM.2011.04.024
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description: scientific article; zbMATH DE number 5989133