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
Link To Document :
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