Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory

DOI10.1007/BF02366630zbMath0858.90011MaRDI QIDQ1816024

A. N. Nakonechnyi

Publication date: 21 November 1996

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

zbMATH Keywords

risk processruin probabilityMonte Carlo estimate

Mathematics Subject Classification ID

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Cites Work

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• Iterative processes: A survey of convergence theory using Lyapunov second method
• Stochastic gradient processes: A survey of convergence theory using Lyapunov second method
• Monte Carlo simulation of the renewal function