A note on compound renewal risk models with dependence

DOI10.1016/j.cam.2015.02.032zbMath1325.91028OpenAlexW1999964107MaRDI QIDQ2345669

Julien Trufin, Etienne Larrivée-Hardy, Étienne Marceau, Hélène Cossette

Publication date: 22 May 2015

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.2015.02.032

zbMATH Keywords

importance samplingcopulasbivariate distributionschange of measure techniqueslight-tailed claim distributionsruin measures

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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