Title of article :
On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
Author/Authors :
Coulibaly، نويسنده , , Ibrahim and Lefèvre، نويسنده , , Claude، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
This note discusses a simple quasi-Monte Carlo method to evaluate numerically the ultimate ruin probability in the classical compound Poisson risk model. The key point is the Pollaczek–Khintchine representation of the non-ruin probability as a series of convolutions. Our suggestion is to truncate the series at some appropriate level and to evaluate the remaining convolution integrals by quasi-Monte Carlo techniques. For illustration, this approximation procedure is applied when claim sizes have an exponential or generalized Pareto distribution.
Keywords :
Compound Poisson model , Ultimate ruin probability , Numerical Integration , Low-discrepancy sequences , quasi-Monte Carlo methods , Monte Carlo simulation , Risk theory
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics