Usabel Rodrigo, Miguel Arturo2011-12-122011-12-121998-10Insurance, Mathematics & Economics, Oct 1998, v. 23, n. 1, pp. 71-830167-6687https://hdl.handle.net/10016/12731Evaluation 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 probabilitiesapplication/pdfeng©ElsevierMonte Carlo multiple integrationVariance reductionConvolutionsRuin probabilityresearch articleEmpresa10.1016/S0167-6687(98)00026-2open access71183Insurance, Mathematics & Economics23