THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL

DOI10.1017/asb.2016.5zbMath1390.91191OpenAlexW3123445822MaRDI QIDQ4563775

Dan Zhu, Mark S. Joshi

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2016.5

zbMATH Keywords

sensitivity analysisMonte Carloruin probabilitiesrisk-based capital

Mathematics Subject Classification ID

Related Items (1)

A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model

Uses Software

• RESTART

Cites Work

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