Saddlepoint Approximations to Tail Probabilities and Quantiles of Inhomogeneous Discounted Compound Poisson Processes with Periodic Intensity Functions
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DOI: 10.1007/s11009-011-9219-x
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References listed on IDEAS
- 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.
- 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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- 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.
- 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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Keywords
Circular distribution; Cumulant generating function; Flat-topped distribution; Fourier series; Interest rate; Monte Carlo simulation; Total claim amount; Trigonometric polynomial; von Mises distribution; Wrapped α-stable distribution;All these keywords.
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