Applications to risk theory of a Monte Carlo multiple integration method

Insurance: Mathematics and Economics

Volumn 23, Issue 1, 1998, Pages 71-83

  Usábel, Miguel A ^a,b  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

^b C/Princesa Sofia   (Spain)

Author keywords

Convolutions; Monte Carlo multiple integration; Ruin probability; Variance reduction

Indexed keywords

EID: 0032585132     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00026-2     Document Type: Article

References (14)

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13. Usábel, M.A., 1995a. Cálculo numérico de probabilidades de ruina: Aplicación de la teoría de la renovación y de la simulación, Unpublished Ph.D. Thesis, Department of Finance and Actuarial Science, Universidad Complutense de Madrid, Spain.
14. Usábel, M.A., 1995b. A numerical method of estimating ruin probabilities in a simple financial model. Proceedings of the XXV International Congress of Actuaries, Brussels, September 1995.