Applications to risk theory of a Montecarlo multiple integration method

Miguel Arturo Usábel Rodrigo
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Miguel Arturo Usábel Rodrigo: Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.

No 97-20, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: The evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. Using Monte Carlo simulation we will obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in risle theory. The variance reduction achieved compared to straight simulation and some specific properties malee this approach interesting when approximating ruin probabilities.

Keywords: Procesos estocásticos; Riesgo; Modelos matemáticos. (search for similar items in EconPapers)
Pages: 19 pages
Date: 1997
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