Simulation of ruin probabilities (Q2638707)

The classical model of risk theory with homogeneous Poisson claim number process is considered. Then a direct simulation of the probability of ruin can be difficult and unstable for certain parameters and claim size distributions. Therefore the authors propose to use a martingale transform of the given process first, then perform the simulation for the transformed distributions and use the result to obtain a good approximation for the original ruin probability. Three special examples are carried out in detail.