A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
type: Item
instance of: scholarly article
title: A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
zbMATH Open document ID: 1202.60072
author: Riccardo Gatto
published in: Methodology and Computing in Applied Probability
publication date: 2010-10-14T00:00:00Z
full work available at URL: https://boris.unibe.ch/118120/
Mathematics Subject Classification ID: 60G55
zbMATH DE Number: 5800282
zbMATH Keywords: cumulant generating function
zbMATH Keywords: intensity function
zbMATH Keywords: interest rate
zbMATH Keywords: Monte Carlo
zbMATH Keywords: shot-noise process
zbMATH Keywords: total claim amount
MaRDI profile type: Publication
OpenAlex ID: W2078863505
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DOI: 10.1007/S11009-008-9116-0
description: scientific article; zbMATH DE number 5800282