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Simulation of Ruin Probabilities for Subexponential Claims
| Content Provider | Semantic Scholar |
|---|---|
| Author | Asmussen, Søren Binswanger, Klemens |
| Copyright Year | 1997 |
| Abstract | 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]. |
| Starting Page | 297 |
| Ending Page | 318 |
| Page Count | 22 |
| File Format | PDF HTM / HTML |
| DOI | 10.2143/AST.27.2.542054 |
| Alternate Webpage(s) | http://www.casact.org/library/astin/vol27no2/297.pdf |
| Alternate Webpage(s) | http://www.actuaries.org/LIBRARY/ASTIN/vol27no2/297.pdf |
| Alternate Webpage(s) | https://doi.org/10.2143/AST.27.2.542054 |
| Volume Number | 27 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
