RPA pathwise derivative estimation of ruin probabilities
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Publication:1584521
DOI10.1016/S0167-6687(99)00022-0zbMath1017.91051OpenAlexW2088713649MaRDI QIDQ1584521
Publication date: 26 August 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00022-0
estimationimportance samplinginsurancestorage processruin probabilitiessurplus processrare perturbation analysis
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Related Items (3)
THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL ⋮ Approximation for ruin probability in the Sparre Andersen model with interest ⋮ Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
Cites Work
- Conjugate processes and the simulation of ruin problems
- On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
- Importance sampling in the Monte Carlo study of sequential tests
- On-Line Optimization of Simulated Markovian Processes
- Estimation of the derivative of a stationary measure with respect to a control parameter
- Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework
- Sensitivity analysis for ruin probabilities: canonical risk model
- Sensitivity Analysis for Simulations via Likelihood Ratios
- Ruin probabilities via local adjustment coefficients
- Virtual customers in sensitivity and light traffic analysis via Campbell's formula for point processes
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