Sensitivity analysis and density estimation for finite-time ruin probabilities

Stéphane Loisel and Nicolas Privault

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Abstract: The goal of this paper is to obtain probabilistic representation formulas that are suitable for the numerical computation of the (possibly non-continuous) density functions of infima of reserve processes commonly used in insurance. In particular we show, using Monte Carlo simulations, that these representation formulas perform better than standard finite difference methods. Our approach differs from standard Malliavin probabilistic representation techniques which generally require more smoothness on random variables, entailing the continuity of their density functions.

Keywords: Ruin probability; Malliavin calculus; insurance; integration by parts (search for similar items in EconPapers)
Date: 2009
Note: View the original document on HAL open archive server: https://hal.science/hal-00201347v3
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Citations: View citations in EconPapers (4)

Published in Journal of Computational and Applied Mathematics, 2009, 230 (1), pp.107-120. ⟨10.1016/j.cam.2008.10.066⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00201347

DOI: 10.1016/j.cam.2008.10.066

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