Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion

DOI10.1016/j.mcm.2011.09.041zbMath1255.91179OpenAlexW2050149519MaRDI QIDQ1931039

Riccardo Gatto, Michael Mosimann

Publication date: 24 January 2013

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.09.041

zbMATH Keywords

saddlepoint approximationimportance samplingfast Fourier transformMonte Carlo simulationupper and lower boundsexponential change of measurecumulant generating functioncompound geometric distributionmaximal aggregate lossDaniels' and Lundberg's exponents

Mathematics Subject Classification ID

Related Items (8)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes ⋮ Unnamed Item ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ The stability of the probability of ruin ⋮ Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods ⋮ A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion ⋮ Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

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