Simulating the ruin probability of risk processes with delay in claim settlement

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:112

Article

Torrisi, GL

关键词: importance sampling;    Monte Carlo simulation;    ruin probabilities;    Poisson shot-noise process;   

DOI  :  10.1016/j.spa.2004.02.007

来源: Elsevier

【 摘 要 】

A risk process with delay in claim settlement is usually described in terms of a Poisson shot-noise process (see Kluppelberg and Mikosch (Bernoulli 1 (1995) 125) and Bremaud (Appl. Probab. 37 (2000) 914)). In particular, Bremaud proves that under suitable conditions the corresponding ruin probability goes to zero not slower than an exponential rate. This yields problems if we want to estimate the ruin probability by a Monte Carlo simulation. In this paper we overcome these difficulties deriving the asymptotically efficient simulation law. (C) 2004 Elsevier B.V. All rights reserved.

【 授权许可】

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