Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion-Reference-Cited by-同舟云学术

Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion

Published:2014-05-27 Issue:1 Volume:18 Page:217-235
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Gatto Riccardo,Baumgartner Benjamin

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-014-9412-9.pdf

Reference34 articles.

1. Asmussen S (1985) Conjugate processes and the simulation of ruin problems. Stoch Process Appl 20(2):213–229

2. Asmussen S, Albrecher H (2010) Ruin Probabilities, Vol. 14 of Advanced Series on Statistical Science and Applied Probability. World Scientific, Singapore

3. Asmussen S, Glynn PW (2007) Stochastic Simulation: Algorithms and Analysis, number 57 in Stochastic Modelling and Applied Probability. Springer, New York

4. Asmussen S, Rolski T (1991) Computational methods in risk theory: a matrix-algorithmic approach. Insur Math Econ 10(4):259–274

5. Barndorff-Nielsen OE (1986) Inference on full or partial parameters based on the standardized signed log likelihood ratio. Biometrika 73(2):307–322

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