Simulating the ruin probability of risk processes with delay in claim settlement

Academic Article

Publication Date:

2004

abstract:

Using importance sampling we give an asymptotic efficient simulation law for risk processes with delayed claims

Iris type:

01.01 Articolo in rivista

Keywords:

importance sampling; large deviations; point processes; ruin probabilities; shot noise

List of contributors:

Authors of the University:

TORRISI GIOVANNI LUCA

Handle:

Published in:

Journal