On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities

DOI10.1016/j.insmatheco.2007.10.008zbMath1141.91497OpenAlexW2145501447MaRDI QIDQ931177

Ibrahim Coulibaly, Claude Lefèvre

Publication date: 25 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.008

zbMATH Keywords

numerical integrationMonte Carlo simulationquasi-Monte Carlo methodslow-discrepancy sequencescompound Poisson modelrisk theoryultimate ruin probability

Mathematics Subject Classification ID

Related Items

Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Volterra integral equations: an approach based on Lipschitz-continuity ⋮ Approximation methods for piecewise deterministic Markov processes and their costs ⋮ Fourier-cosine method for ruin probabilities ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Uses Software

• MersenneTwister

Cites Work

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