Efficient simulation techniques for a generalized ruin model

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Ressource 1Télécharger: BIB_438C0AAA6F72.P001.pdf (447.61 [Ko])
Etat: Public
Version: de l'auteur
ID Serval
serval:BIB_438C0AAA6F72
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Efficient simulation techniques for a generalized ruin model
Périodique
Grazer Mathematische Berichte
Auteur(s)
Albrecher H., Kainhofer R., Tichy R.
ISSN
1016-7692
Statut éditorial
Publié
Date de publication
2002
Peer-reviewed
Oui
Volume
345
Pages
79-110
Langue
anglais
Résumé
In this paper we consider a generalized version of the classical model for the collective surplus process of an insurance portfolio. In the presence of dividend payments according to a non-linear barrier strategy and interest on the free reserve we derive equations for the probability of ruin and the expected present value of dividend payments which give rise to several numerical number-theoretic solution techniques. For various claim size distributions and a parabolic barrier numerical tests and comparisons of these techniques are performed. In particular, the efficiency gain obtained by implementing low-discrepancy sequences instead of pseudorandom sequences is investigated.
Création de la notice
12/05/2009 11:00
Dernière modification de la notice
20/08/2019 13:47
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