Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators-Reference-Cited by-同舟云学术

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Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

Published:2013-09-11 Issue:4 Volume:85 Page:641-659
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Gatto Riccardo,Peeters Chantal

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/00949655.2013.834058

Reference21 articles.

1. Bühlmann H. Mathematical methods in risk theory. Berlin: Springer; 1970.

2. Gerber HU. An introduction to Mathematical risk theory. Philadelphia: Huebner Monograph Series 8; 1979.

3. Mikosch T. Non-life insurance Mathematics. Berlin: Springer; 2004.

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