On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities

Ibrahim Coulibaly and Claude Lefèvre

Insurance: Mathematics and Economics, 2008, vol. 42, issue 3, 935-942

Abstract: This note discusses a simple quasi-Monte Carlo method to evaluate numerically the ultimate ruin probability in the classical compound Poisson risk model. The key point is the Pollaczek-Khintchine representation of the non-ruin probability as a series of convolutions. Our suggestion is to truncate the series at some appropriate level and to evaluate the remaining convolution integrals by quasi-Monte Carlo techniques. For illustration, this approximation procedure is applied when claim sizes have an exponential or generalized Pareto distribution.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:3:p:935-942

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