Name
Title | ||
|---|---|---|
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion. |
Abstract | ||
|---|---|---|
This article compares four different approaches for computing the probability of ruin of the insurer compound Poisson surplus process with an additive Wiener perturbation. The first method is based on the saddlepoint approximation of asymptotic analysis. The second method is based on recursive upper and lower approximations and it is a new approach for the perturbed risk process. The third method is the fast Fourier transform. The last method is Monte Carlo importance sampling. A numerical study illustrates the high accuracy of these four methods. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1016/j.mcm.2011.09.041 | Mathematical and Computer Modelling |
Keywords | Field | DocType |
Compound geometric distribution,Cumulant generating function,Daniels’ and Lundberg’s exponents,Exponential change of measure,Fast Fourier transform,Importance sampling,Maximal aggregate loss,Monte Carlo simulation,Saddlepoint approximation,Upper and lower bounds | Mathematical optimization,Importance sampling,Monte Carlo method,Upper and lower bounds,Cumulant,Fast Fourier transform,Poisson distribution,Asymptotic analysis,Mathematics,Recursion | Journal |
Volume | Issue | ISSN |
55 | 3 | 0895-7177 |
Citations | PageRank | References |
2 | 0.91 | 1 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Riccardo Gatto | 1 | 12 | 5.65 |
| Michael Mosimann | 2 | 2 | 0.91 |