Simulation of Ruin Probabilities for Subexponential Claims
Authors:
- S. AsmussenSAS. Asmussen
- K. BinswangerKBK. Binswanger
Open Access
- 1 November 1997
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 27 (2) , 297-318
Abstract
We consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense. We use the simulation methods to study the accuracy of the standard Embrechts-Veraverbeke [16] approximation for the ruin probability and also suggest a new one based upon ideas of Hogan [21].Keywords
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