Simulation of ruin probabilities for risk processes of Markovian type

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Serval ID
serval:BIB_189C85D2C4D6
Type
Article: article from journal or magazin.
Collection
Publications
Title
Simulation of ruin probabilities for risk processes of Markovian type
Journal
Monte Carlo Methods and Applications
Author(s)
Albrecher H., Kantor J.
ISSN
0929-9629
Publication state
Published
Issued date
2002
Peer-reviewed
Oui
Volume
8
Number
2
Pages
111-127
Language
english
Abstract
We consider a generalisation of the classical risk model, where consecutive claims may be dependent according to a Markovian structure represented by a copula function for the joint distribution function of the claims. For various marginal claim size distributions and copula functions ruin probabilities are simulated via Monte Carlo and an importance sampling technique for variance reduction is developed.
Create date
12/05/2009 11:01
Last modification date
20/08/2019 12:49
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