Title of article
Applications to risk theory of a Monte Carlo multiple integration method
Author/Authors
Usلbel، نويسنده , , Miguel A.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
13
From page
71
To page
83
Abstract
Evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. Using Monte Carlo simulation we obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in risk theory. The variance reduction achieved compared to straight simulation and some specific properties make this approach interesting when approximating ruin probabilities.
Keywords
convolutions , Monte Carlo multiple integration , variance reduction , Ruin probability
Journal title
Insurance Mathematics and Economics
Serial Year
1998
Journal title
Insurance Mathematics and Economics
Record number
1542061
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