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

DOI10.1080/03461230110106354MaRDI QIDQ4455901zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ruin probabilitysemi-martingalessimulatingLévy processimportance sampling methods

Mathematics Subject Classification ID

Recommendations

• Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
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• scientific article; zbMATH DE number 5520752

Cited in

(6)

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

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