A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
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Publication:2344885
DOI10.1016/j.spl.2015.01.019zbMath1314.91236OpenAlexW2026135627MaRDI QIDQ2344885
Publication date: 18 May 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://boris.unibe.ch/69133/8/Gatto%20A%20Logarithmic%20Efficient.pdf
importance samplingMonte Carlo simulationexponential tiltLegendre-Fenchel transformEsscher approximation
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Cites Work
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- Introduction to rare event simulation.
- On the optimal dividend problem for a spectrally negative Lévy process
- Stochastic simulation: Algorithms and analysis
- Lévy Processes and Stochastic Calculus
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
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