Abstract
The saddlepoint approximation or Esscher approximation for the total claim distribution is extended from the classical risk model to a number of models considered recently in the literature. Theorems are derived for the validity of the approximation. Key words: compound sum, conjugate distribution, log-concave density, tail probability.
Reinsurance Research - Loss Distributions, Size of
Volume
2
Page
154-168
Year
1991
Categories
Financial and Statistical Methods
Loss Distributions
Business Areas
Reinsurance
Publications
Scandinavian Actuarial Journal