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Simulation of Ruin Probabilities for Subexponential Claims
| Content Provider | Scilit |
|---|---|
| Author | Asmussen, S. Binswanger, K. |
| Copyright Year | 1997 |
| Description | We consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense. We use the simulation methods to study the accuracy of the standard Embrechts-Veraverbeke [16] approximation for the ruin probability and also suggest a new one based upon ideas of Hogan [21]. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/CD062AAC5239BECE8146AB75986B00B9/S0515036100012101a.pdf/div-class-title-simulation-of-ruin-probabilities-for-subexponential-claims-div.pdf |
| Ending Page | 318 |
| Page Count | 22 |
| Starting Page | 297 |
| ISSN | 05150361 |
| e-ISSN | 17831350 |
| DOI | 10.2143/ast.27.2.542054 |
| Journal | Astin Bulletin |
| Issue Number | 2 |
| Volume Number | 27 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 1997-11-01 |
| Access Restriction | Open |
| Subject Keyword | Astin Bulletin Ruin Probabilities Subexponential Claims |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
