Simulation of Ruin Probabilities for Subexponential Claims

S. Asmussen and K. Binswanger

ASTIN Bulletin, 1997, vol. 27, issue 2, 297-318

Abstract: We 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].

Date: 1997
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