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

DOI10.1016/J.SPL.2015.01.019zbMath1314.91236OpenAlexW2026135627MaRDI QIDQ2344885

Riccardo Gatto

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

zbMATH Keywords

importance samplingMonte Carlo simulationexponential tiltLegendre-Fenchel transformEsscher approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Cites Work

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• Lévy Processes and Stochastic Calculus
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

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