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Saddlepoint Approximations to Tail Probabilities and Quantiles of Inhomogeneous Discounted Compound Poisson Processes with Periodic Intensity Functions

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  • Riccardo Gatto

    (University of Bern)

Abstract

This article provides saddlepoint approximations to tail probabilities and quantiles of the insurer discounted total claim amount, where the individual claim amounts are independent with a linear combination of exponential distributions and the number of claims is given by an inhomogeneous Poisson process with a periodic intensity function. It extends some previous results by Gatto (Methodol Comput Appl Probab 12:533–551, 2010), which are given for tail probabilities only and for non-periodic intensities only. Both extensions proposed in this article are important in the actuarial practice, where phenomena generating claims are subject to seasonal variations and where the quantiles or the values-at-risk of the total claim amount are desired. Some numerical comparisons of the new methods with Monte Carlo simulation are shown. The methods proposed are numerically very accurate, computationally efficient and hence relevant for the actuarial practice.

Suggested Citation

  • Riccardo Gatto, 2012. "Saddlepoint Approximations to Tail Probabilities and Quantiles of Inhomogeneous Discounted Compound Poisson Processes with Periodic Intensity Functions," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 1053-1074, December.
    • Handle: RePEc:spr:metcap:v:14:y:2012:i:4:d:10.1007_s11009-011-9219-x
    DOI: 10.1007/s11009-011-9219-x
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    References listed on IDEAS

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    1. Riccardo Gatto, 2010. "A Saddlepoint Approximation to the Distribution of Inhomogeneous Discounted Compound Poisson Processes," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 533-551, September.
    2. Wang, Suojin, 1995. "One-step saddlepoint approximations for quantiles," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 65-74, July.
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    Cited by:

    1. Fernanda V. Paula & Abraão D. C. Nascimento & Getúlio J. A. Amaral & Gauss M. Cordeiro, 2021. "Generalized Cardioid Distributions for Circular Data Analysis," Stats, MDPI, vol. 4(3), pages 1-16, August.
    2. Riccardo Gatto & Benjamin Baumgartner, 2014. "Value at Ruin and Tail Value at Ruin of the Compound Poisson Process with Diffusion and Efficient Computational Methods," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 561-582, September.

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