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62 research outputs found

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

Author: Asmussen S
Chantal Peeters
De Bruijn NG
Esscher F
Esscher F
Riccardo Gatto
Publication venue: 'Informa UK Limited'
Publication date
Field of study

The Wald Martingale and the Maximum

Author: A. Wald
A. Wald
A.E. Kyprianou
F. Esscher
H.U. Gerber
H.U. Gerber
N.H. Bingham
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2013
Field of study

Small Sample Asymptotics for Credit Risk Portfolios

Author: Barndorff-Nielsen O. E.
Barndorff-Nielsen O. E.
Dirk Ocker
Esscher F.
Field C.
Jan Beran
Publication venue: 'Informa UK Limited'
Publication date
Field of study

Toward a universal law of the iterated logarithm, Part II

Author: F. Esscher
M. Lipschutz
M.J. Klass
M.J. Klass
M.J. Klass
Michael J. Klass
W. Feller
W. Feller
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/1977
Field of study

A Saddlepoint Approximation to the Distribution of Inhomogeneous Discounted Compound Poisson Processes

Author: A Novikov
F Esscher
F Esscher
H Bühlmann
HE Daniels
HE Daniels
HU Gerber
J Paulsen
JL Jensen
JL Jensen
L Devroye
NL Bowers
OE Barndorff-Nielsen
P Embrechts
R Lugannani
Riccardo Gatto
S Asmussen
T Mikosch
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

On the minimal entropy martingale measure for Lévy processes

Author: Andrii Andrusiv
Cawston S.
Esscher F.
Gerber H.U.
Hans-Jürgen Engelbert
He S.
Ikeda N.
Sato K.
Publication venue: 'Informa UK Limited'
Publication date
Field of study

Performances de l'ELSA-NSE

Author: Burghuber
D Pons
Esscher
F Genetet
Harding
J Fauque
M.H. Garrido
Nou
P Seguin
Pahlman
Viallard
Zandwijk
Zeltzer
Zeltzer
Publication venue: 'Elsevier BV'
Publication date
Field of study

Saddlepoint approximations for studentized compound Poisson sums with no moment conditions in audit sampling

Author: B. Y. Jing
F. Esscher
GuoLiang Zhou
H. E. Daniels
H. E. Daniels
O. E. Barndorff-Nielsen
P. Embrechts
R. Helmers
Wang Zhou
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2011
Field of study

10.1007/s11425-010-4102-8Science China Mathematics53123131-313

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Risk and Loss Aversion Revisited

Author: Arrow K.
Bühlmann H.
Esscher F.
Friend I.
Gerber H.U.
Graham J.R.
Gregory Moscato
Grégory Gadzinski
Levy H.
Markowitz H.
Young V.R.
Publication venue: 'Pageant Media US'
Publication date
Field of study

Limit theorems for probabilities of large deviations

Author: F. Esscher
J. Marcinkiewicz
V. V. Petrov
V. V. Petrov
W. Feller
W. Feller
W. Feller
W. Feller
W. Richter
W. Richter
William Feller
Yu. V. Linnik
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/1969
Field of study

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