Publication: Applications to risk theory of a Monte Carlo multiple integration method
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Usabel Rodrigo, Miguel Arturo | |
dc.date.accessioned | 2011-12-12T16:39:37Z | |
dc.date.available | 2011-12-12T16:39:37Z | |
dc.date.issued | 1998-10 | |
dc.description.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 | |
dc.description.status | Publicado | |
dc.format.mimetype | application/pdf | |
dc.identifier.bibliographicCitation | Insurance, Mathematics & Economics, Oct 1998, v. 23, n. 1, pp. 71-83 | |
dc.identifier.doi | 10.1016/S0167-6687(98)00026-2 | |
dc.identifier.issn | 0167-6687 | |
dc.identifier.publicationfirstpage | 71 | |
dc.identifier.publicationissue | 1 | |
dc.identifier.publicationlastpage | 83 | |
dc.identifier.publicationtitle | Insurance, Mathematics & Economics | |
dc.identifier.publicationvolume | 23 | |
dc.identifier.uri | https://hdl.handle.net/10016/12731 | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.relation.publisherversion | http://dx.doi.org/10.1016/S0167-6687(98)00026-2 | |
dc.rights | ©Elsevier | |
dc.rights.accessRights | open access | |
dc.subject.eciencia | Empresa | |
dc.subject.other | Monte Carlo multiple integration | |
dc.subject.other | Variance reduction | |
dc.subject.other | Convolutions | |
dc.subject.other | Ruin probability | |
dc.title | Applications to risk theory of a Monte Carlo multiple integration method | |
dc.type | research article | * |
dc.type.hasVersion | AM | * |
dspace.entity.type | Publication |
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