Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

DOI10.1007/S11009-020-09799-6zbMath1477.91013arXiv2006.07447OpenAlexW3045279821MaRDI QIDQ2065463

Martin Bladt, Eleni Vatamidou, Hansjoerg Albrecher

Publication date: 7 January 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.07447

zbMATH Keywords

ruin probabilityrare event simulationCramér-Lundberg modelinsurance risk theory

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05) Actuarial mathematics (91G05) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)

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