Efficient simulation techniques for a generalized ruin model

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Serval ID
serval:BIB_438C0AAA6F72
Type
Article: article from journal or magazin.
Collection
Publications
Title
Efficient simulation techniques for a generalized ruin model
Journal
Grazer Mathematische Berichte
Author(s)
Albrecher H., Kainhofer R., Tichy R.
ISSN
1016-7692
Publication state
Published
Issued date
2002
Peer-reviewed
Oui
Volume
345
Pages
79-110
Language
english
Abstract
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.
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12/05/2009 11:00
Last modification date
20/08/2019 13:47
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