Saddlepoint Approximation and Bootstrap Inference for the Satterthwaite Class of Ratios

2002 ◽  
Vol 97 (459) ◽  
pp. 836-846 ◽  
Author(s):  
Ronald W Butler ◽  
Marc S Paolella
Keyword(s):  
Saddlepoint Approximation ◽  
Bootstrap Inference

scholarly journals The Stability of the Aggregate Loss Distribution

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 91 ◽  
Author(s):  
Riccardo Gatto
Keyword(s):  
Stability Analysis ◽  
Survival Function ◽  
Saddlepoint Approximation ◽  
Computational Formula ◽  
Important Indicator ◽  
The Common ◽  
Infinitesimal Perturbation ◽  
Aggregate Loss ◽  
Aggregate Loss Distribution ◽  
The Stability

In this article we introduce the stability analysis of a compound sum: it consists of computing the standardized variation of the survival function of the sum resulting from an infinitesimal perturbation of the common distribution of the summands. Stability analysis is complementary to the classical sensitivity analysis, which consists of computing the derivative of an important indicator of the model, with respect to a model parameter. We obtain a computational formula for this stability from the saddlepoint approximation. We apply the formula to the compound Poisson insurer loss with gamma individual claim amounts and to the compound geometric loss with Weibull individual claim amounts.

scholarly journals Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting

Technometrics ◽  
2011 ◽  
Vol 53 (2) ◽  
pp. 137-151 ◽  
Author(s):  
Andrés M. Alonso ◽  
Carolina García-Martos ◽  
Julio Rodríguez ◽  
María Jesús Sánchez
Keyword(s):  
Factor Analysis ◽  
Electricity Market ◽  
Seasonal Dynamic ◽  
Dynamic Factor Analysis ◽  
Dynamic Factor ◽  
Bootstrap Inference

Application of the simple saddlepoint approximation to estimate probability distributions in wildlife research

2011 ◽  
Vol 75 (3) ◽  
pp. 740-746 ◽  
Author(s):  
Stephen J. Demaso ◽  
Fidel Hernández ◽  
Leonard A. Brennan ◽  
Ralph L. Bingham
Keyword(s):  
Probability Distributions ◽  
Saddlepoint Approximation

scholarly journals Explaining the Saddlepoint Approximation

1999 ◽  
Vol 53 (3) ◽  
pp. 216-224 ◽  
Author(s):  
Constantino Goutis ◽  
George Casella
Keyword(s):  
Saddlepoint Approximation

Unified uncertainty analysis by the mean value first order saddlepoint approximation

2012 ◽  
Vol 46 (6) ◽  
pp. 803-812 ◽  
Author(s):  
Ning-Cong Xiao ◽  
Hong-Zhong Huang ◽  
Zhonglai Wang ◽  
Yu Liu ◽  
Xiao-Ling Zhang
Keyword(s):  
Uncertainty Analysis ◽  
Saddlepoint Approximation ◽  
Mean Value ◽  
First Order ◽  
The Mean
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