Sensitivity analysis and density estimation for finite-time ruin probabilities

DOI10.1016/J.CAM.2008.10.066zbMATH Open1169.91018OpenAlexW1997891378MaRDI QIDQ1026435FDOQ1026435

Authors: Stéphane Loisel, Nicolas Privault 

Publication date: 25 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.cam.2008.10.066

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zbMATH Keywords

Malliavin calculussensitivity analysisruin probabilityintegration by partsruin theoryinsurance mathematics

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; economic indices and measures (91B82) Brownian motion (60J65)

Cites Work

• Dirichlet forms and analysis on Wiener space
• Title not available (Why is that?)
• On finite-time ruin probabilities for classical risk models
• The probability of ruin in finite time with discrete claim size distribution
• Title not available (Why is that?)
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• The law of the supremum of a stable Lévy process with no negative jumps
• Level crossing times for certain processes without positive jumps
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• A Malliavin calculus approach to sensitivity analysis in insurance
• Title not available (Why is that?)
• Connection, parallel transport, curvature and energy identities on spaces of configurations

Cited In (8)

• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Sensitivity analysis for ruin probabilities: canonical risk model
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• Functional sensitivity analysis of ruin probability in the classical risk models
• A Malliavin calculus approach to sensitivity analysis in insurance
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

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