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.2015.01.019zbMath1314.91236MaRDI 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 sampling; Monte Carlo simulation; exponential tilt; Legendre-Fenchel transform; Esscher approximation
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
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