Approximations for compound Poisson and Pólya processes
- 1 June 1985
- journal article
- research article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 17 (03) , 623-637
- https://doi.org/10.1017/s0001867800015263
Abstract
Suppose Xi ≧0 are i.i.d., i = 1, 2, ···. We derive a saddlepoint approximation for P{∑N(t) k=1 X k> y} as y→∞ and t is fixed, where N(t), t≧0, is either a Poisson or a Pólya process. These results are then compared and contrasted with the well-known Esscher approximation.Keywords
This publication has 0 references indexed in Scilit: