Simulation of ruin probabilities

DOI10.1016/0167-6687(90)90020-EzbMath0717.62103MaRDI QIDQ2638707

P. Boogaert, Anja De Waegenaere

Publication date: 1990

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

approximationruin probabilitymartingale transformclassical model of risk theoryhomogeneous Poisson claim number processtransformed distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05)

Related Items (6)

Applications of a change of measures technique for compound mixed renewal processes to the ruin problem ⋮ Unnamed Item ⋮ A characterization of martingale-equivalent mixed compound Poisson processes ⋮ Fourier-cosine method for ruin probabilities ⋮ A characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principles ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Cites Work

• A martingale approach to premium calculation principles in an arbitrage free market
• Delay in claim settlement
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• Unnamed Item
• Unnamed Item
• Unnamed Item

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