An Introduction to Stochastic Particle Integration Methods: With Applications to Risk and Insurance

DOI10.1007/978-3-642-41095-6_3zbMath1302.65034OpenAlexW17199230MaRDI QIDQ2926210

Pierre Del Moral, Christelle Vergé, Gareth W. Peters

Publication date: 31 October 2014

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41095-6_3

zbMATH Keywords

Monte Carloinsurancerisk managementactuarial scienceacceptance-rejection sequential particle samplerFeynman-Kac particle integrationgenetic type algorithmstochastic particle integration methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic particle methods (65C35)

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Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

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