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

Articolo
Data di Pubblicazione:
2004
Abstract:
Using importance sampling we give an asymptotic efficient simulation law for risk processes with delayed claims
Tipologia CRIS:
01.01 Articolo in rivista
Keywords:
importance sampling; large deviations; point processes; ruin probabilities; shot noise
Elenco autori:
Autori di Ateneo:
Link alla scheda completa:
https://iris.cnr.it/handle/20.500.14243/161538
Pubblicato in:
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Journal