English, Article, Journal or magazine article edition: Sensitivity analysis and density estimation for finite-time ruin probabilities Stéphane Loisel; Nicolas Privault

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Bookmark: http://trove.nla.gov.au/version/168761
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Sensitivity analysis and density estimation for finite-time ruin probabilities
Author
  • Stéphane Loisel
  • Nicolas Privault
Physical Description
  • preprint
Notes
  • RePEc:hal:wpaper:hal-00201347_v3
  • 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.
  • Ruin probability; Malliavin calculus; insurance; integration by parts
  • RePEc:hal:journl:hal-00201347_v3
Language
  • English
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