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Applications to risk theory of a Monte Carlo multiple integration method

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URI: https://hdl.handle.net/10016/12731
ISSN: 0167-6687
DOI: 10.1016/S0167-6687(98)00026-2
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applications_usabel_IME_1998_ps.pdf (1.41 MB)
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1998-10
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Elsevier
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Abstract
Evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. Using Monte Carlo simulation we obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in risk theory. The variance reduction achieved compared to straight simulation and some specific properties make this approach interesting when approximating ruin probabilities
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Monte Carlo multiple integration, Variance reduction, Convolutions, Ruin probability
Bibliographic citation
Insurance, Mathematics & Economics, Oct 1998, v. 23, n. 1, pp. 71-83
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