Simulation of ruin probabilities for risk processes of Markovian type
Détails
Télécharger: BIB_189C85D2C4D6.P001.pdf (759.99 [Ko])
Etat: Public
Version: de l'auteur⸱e
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_189C85D2C4D6
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Simulation of ruin probabilities for risk processes of Markovian type
Périodique
Monte Carlo Methods and Applications
ISSN
0929-9629
Statut éditorial
Publié
Date de publication
2002
Peer-reviewed
Oui
Volume
8
Numéro
2
Pages
111-127
Langue
anglais
Résumé
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.
Création de la notice
12/05/2009 11:01
Dernière modification de la notice
20/08/2019 12:49