Sensitivity analysis and density estimation for finite-time ruin probabilities

DOI10.1016/j.cam.2008.10.066zbMath1169.91018OpenAlexW1997891378MaRDI QIDQ1026435

Nicolas Privault, Stéphane Loisel

Publication date: 25 June 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.10.066

zbMATH Keywords

sensitivity analysisMalliavin calculusruin probabilityruin theoryintegration by partsinsurance mathematics

Mathematics Subject Classification ID

Related Items (3)

THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation

Cites Work

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• Connection, parallel transport, curvature and energy identities on spaces of configurations
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• Chaotic and variational calculus in discrete and continuous time for the poisson process

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