RT Journal Article
T1 Applications to risk theory of a Monte Carlo multiple integration method
A1 Usabel Rodrigo, Miguel Arturo
AB 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
PB Elsevier
SN 0167-6687
YR 1998
FD 1998-10
LK https://hdl.handle.net/10016/12731
UL https://hdl.handle.net/10016/12731
LA eng
DS e-Archivo
RD 1 sept. 2024