Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods

DOI10.1080/03461230110106354zbMATH Open1039.91047OpenAlexW1973688562MaRDI QIDQ4455901FDOQ4455901

Authors: Jostein Paulsen, Bo Normann Rasmussen 

Publication date: 16 March 2004

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106354

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• scientific article; zbMATH DE number 5520752

zbMATH Keywords

ruin probabilitysemi-martingalessimulatingLévy processimportance sampling methods

Mathematics Subject Classification ID

Cited In (6)

• Functional sensitivity analysis of ruin probability in the classical risk models
• A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
• Evaluating ruin probabilities: a streamlined approach
• Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios

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