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

insurance mathematicsintegration by partsMalliavin calculusruin probabilityruin theorysensitivity analysis

Mathematics Subject Classification ID

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

Review text

The authors present a computational method for finite-time ruin probability. The estimation procedure is based on the sensitivity Malliavin calculus. Nevertheless since considered density functions do not satisfy the required smoothness conditions the authors modify the algorithm using direct integration by parts that leads to an explicit probabilistic representation formula suitable for the computation of the sensitivity by numerical simulation. Jump-diffusion processes are treated as well using the density of the Brownian bridge. Simulation examples demonstrate the stability of the proposed method.

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Cites work

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Cited in

(8)

• A Malliavin calculus approach to sensitivity analysis in insurance
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• Sensitivity analysis for ruin probabilities: canonical risk model
• Functional sensitivity analysis of ruin probability in the classical risk models
• 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
• 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

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