Sensitivity analysis and density estimation for finite-time ruin probabilities

DOI10.1016/J.CAM.2008.10.066MaRDI QIDQ1026435zbMATH OpenOpenAlexFDO

Authors Stéphane Loisel, Nicolas Privault

Publication date 25 June 2009

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.2008.10.066

zbMATH Keywords

Malliavin calculussensitivity analysisruin probabilityintegration by partsruin theoryinsurance mathematics

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; economic indices and measures (91B82) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1223661 (Why is no real title available?)
• scientific article; zbMATH DE number 4122983 (Why is no real title available?)
• A Malliavin calculus approach to sensitivity analysis in insurance
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Connection, parallel transport, curvature and energy identities on spaces of configurations
• Dirichlet forms and analysis on Wiener space
• Level crossing times for certain processes without positive jumps
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• On finite-time ruin probabilities for classical risk models
• The law of the supremum of a stable Lévy process with no negative jumps
• The probability of ruin in finite time with discrete claim size distribution

Cited in

(8)

• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
• Sensitivity analysis for ruin probabilities: canonical risk model
• A Malliavin calculus approach to sensitivity analysis in insurance
• Functional sensitivity analysis of ruin probability in the classical risk models
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

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