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Astin Bulletin
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Article . 1997
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Claim

Simulation of Ruin Probabilities for Subexponential Claims

descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 1997 English Publisher:Cambridge University Press (CUP)Journal:ASTIN Bulletin, volume 27, pages 297-318 (issn: 0515-0361, eissn: 1783-1350, Copyright policy )
Authors: Asmussen, Søren; Binswanger, K.;

doi: 10.2143/ast.27.2.542054

Simulation of Ruin Probabilities for Subexponential Claims

Abstract

AbstractWe consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense. We use the simulation methods to study the accuracy of the standard Embrechts-Veraverbeke [16] approximation for the ruin probability and also suggest a new one based upon ideas of Hogan [21].

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
72
Top 10%
Top 10%
Top 10%
bronze