Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes

DOI10.1016/J.AMC.2014.05.077zbMath1335.60123OpenAlexW2032973966MaRDI QIDQ279859

Riccardo Gatto

Publication date: 29 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://boris.unibe.ch/61149/9/Gatto%20Importance%20Sampling.pdf

zbMATH Keywords

bounded relative errorexponential tiltLegendre-Fenchel transformlogarithmic efficiencyLundberg conjugated measureruin due to creeping and to jump

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (1)

A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes

Cites Work

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