Stochastic successive approximation method for assessing the insolvency risk of an insurance company
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In this paper, the Monte Carlo method of the successive approximation solution of the renewal equation describing the ruin probability of the classical compound Poisson risk model is studied. Uniform estimation of the convergence is given. The theoretic result is illustrated by a numerical example.
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- Monte Carlo simulation of the renewal function
- Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
- Necessary and sufficient conditions of existence and uniqueness of solutions to integral equations of actuarial mathematics
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Nonparametric estimators for the probability of ruin
- Recursive calculation of the probability and severity of ruin
- Risk theory with a nonlinear dividend barrier
- Ruin estimates under interest force
- Ruin probabilities with compounding assets
- Simulation methods in ruin models with nonlinear dividend barriers.
- Terminating renewal processes: analytical-statistical estimates and their efficiency
Cited in
(9)- On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market
- Application of the method of successive approximations to determine the probability of bankruptcy of an insurance company with random premiums.
- The method of successive approximations for calculating the probability of bankruptcy of a risk process in a Markovian environment
- The insurance process simulation by Monte Carlo method
- Mathematical models for insurance business optimization
- Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
- Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Results
- A generalization of the ARIMA model to the nonlinear and continuous cases
- Mathematical model of banking operation
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