𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Monte-Carlo estimate of the probability of ruin in a compound poisson model of risk theory

✍ Scribed by A. N. Nakonechnyi

Publisher
Springer US
Year
1995
Tongue
English
Weight
159 KB
Volume
31
Category
Article
ISSN
1573-8337

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Asymptotic behaviour of the finite-time
Asymptotic behaviour of the finite-time ruin probability in renewal risk models
✍ Remigijus Leipus; Jonas Ε iaulys πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 125 KB πŸ‘ 2 views

## Abstract In this paper we study the tail behaviour of the probability of ruin within finite time __t__, as initial risk reserve __x__ tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for __t__∈[__f__(__x__), ∞), where

The use of approximating models in Monte
The use of approximating models in Monte Carlo maximum likelihood estimation
✍ Anthony Y.C Kuk πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 102 KB

To obtain the likelihood of a non-Gaussian state-space model, Durbin and Koopman (1997, Biometrika, 84, 669 -684) ΓΏrst calculate the likelihood under an approximating linear Gaussian model and then use Monte Carlo methods to estimate the necessary adjustment factor. We show that Durbin and Koopman's