Sensitivity analysis and density estimation for finite-time ruin probabilities (Q1026435)

The authors present a computational method for finite-time ruin probability. The estimation procedure is based on the sensitivity Malliavin calculus. Nevertheless since considered density functions do not satisfy the required smoothness conditions the authors modify the algorithm using direct integration by parts that leads to an explicit probabilistic representation formula suitable for the computation of the sensitivity by numerical simulation. Jump-diffusion processes are treated as well using the density of the Brownian bridge. Simulation examples demonstrate the stability of the proposed method.