A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
Academic Article
Publication Date:
2007
abstract:
For a risk process with reserve dependent premium rate, we study sample path large deviations and provide a fast simulation procedure to estimate the corresponding ruin probability.
Iris type:
01.01 Articolo in rivista
List of contributors:
Torrisi, GIOVANNI LUCA
Published in: