Publication:
Applications to risk theory of a Monte Carlo multiple integration method

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorUsabel Rodrigo, Miguel Arturo
dc.date.accessioned2011-12-12T16:39:37Z
dc.date.available2011-12-12T16:39:37Z
dc.date.issued1998-10
dc.description.abstractEvaluation 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
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationInsurance, Mathematics & Economics, Oct 1998, v. 23, n. 1, pp. 71-83
dc.identifier.doi10.1016/S0167-6687(98)00026-2
dc.identifier.issn0167-6687
dc.identifier.publicationfirstpage71
dc.identifier.publicationissue1
dc.identifier.publicationlastpage83
dc.identifier.publicationtitleInsurance, Mathematics & Economics
dc.identifier.publicationvolume23
dc.identifier.urihttps://hdl.handle.net/10016/12731
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/S0167-6687(98)00026-2
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherMonte Carlo multiple integration
dc.subject.otherVariance reduction
dc.subject.otherConvolutions
dc.subject.otherRuin probability
dc.titleApplications to risk theory of a Monte Carlo multiple integration method
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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