Simulation of ruin probabilities
type: Item
instance of: scholarly article
title: Simulation of ruin probabilities
zbMATH Open document ID: 0717.62103
DOI: 10.1016/0167-6687(90)90020-E
author: P. Boogaert
author: Anja De Waegenaere
published in: Insurance Mathematics \& Economics
publication date: 1990-01-01T00:00:00Z
review text: The classical model of risk theory with homogeneous Poisson claim number process is considered. Then a direct simulation of the probability of ruin can be difficult and unstable for certain parameters and claim size distributions. Therefore the authors propose to use a martingale transform of the given process first, then perform the simulation for the transformed distributions and use the result to obtain a good approximation for the original ruin probability. Three special examples are carried out in detail.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 4182674
zbMATH Keywords: classical model of risk theory
zbMATH Keywords: homogeneous Poisson claim number process
zbMATH Keywords: martingale transform
zbMATH Keywords: transformed distributions
zbMATH Keywords: approximation
zbMATH Keywords: ruin probability
reviewed by: Wolf-Rüdiger Heilmann
MaRDI profile type: MaRDI publication profile
cites work: Delay in claim settlement
cites work: A martingale approach to premium calculation principles in an arbitrage free market
cites work: Q3868650
cites work: Q5585020
cites work: Q3694522
cites work: Q5509983
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description: scientific article; zbMATH DE number 4182674