Ruin probabilities in a risk process perturbed by diffusion with two types of claims
نویسندگان
چکیده
منابع مشابه
Simulating Ruin Probabilities in Insurance Risk Processes with Subexponential Claims
We describe a fast simulation framework for simulating small ruin probabilities in insurance risk processes with subexponential claims. Naive simulation is inefficient since the event of interest is rare, and special simulation techniques like importance sampling need to be used. An importance sampling change of measure known as sub-exponential twisting has been found useful for some rare event...
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ژورنال
عنوان ژورنال: Journal of the Korean Data and Information Science Society
سال: 2013
ISSN: 1598-9402
DOI: 10.7465/jkdi.2013.24.1.1