Sensitivity Analysis of Insurance Risk Models via Simulation

DOI10.1287/mnsc.45.8.1125zbMath1231.91140OpenAlexW2006412696MaRDI QIDQ3116693

Soren Asmussen, Reuven Y. Rubinstein

Publication date: 12 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.45.8.1125

zbMATH Keywords

derivative estimationimportancepremium rulesampling likelihood ratio

Mathematics Subject Classification ID

Related Items (4)

THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL ⋮ Sensitivity analysis for rare events based on Rényi divergence ⋮ Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications ⋮ Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators

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