A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
- Author
- GATTO, Riccardo1
[1] Institute of Mathematical Statistics and Actuarial Science, University of Bern, Alpeneggstrasse 22, 3012 Bern, Switzerland - Source
Statistics & probability letters. 2008, Vol 78, Num 13, pp 1948-1954, 7 p ; ref : 1/2 p
- CODEN
- SPLTDC
- ISSN
- 0167-7152
- Scientific domain
- Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- 41A60 60G51 62E17
- Keyword (fr)
- Approximation Méthode statistique Probabilité ruine Processus Poisson Processus diffusion Théorie probabilité 60E05 60J60 Processus composé
- Keyword (en)
- Approximation Statistical method Ruin probability Poisson process Diffusion process Probability theory Compound process
- Keyword (es)
- Aproximación Método estadístico Probabilidad ruina Proceso Poisson Proceso difusión Teoría probabilidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01A General topics
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01F Distribution theory
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02A General topics
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 20663338
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.spl.2008.01.072 
https://dx.doi.org/10.1016/j.spl.2008.01.072
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