Publication: Applications to risk theory of a Monte Carlo multiple integration method
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1998-10
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Elsevier
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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Keywords
Monte Carlo multiple integration, Variance reduction, Convolutions, Ruin probability
Bibliographic citation
Insurance, Mathematics & Economics, Oct 1998, v. 23, n. 1, pp. 71-83