Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods-Reference-Cited by-同舟云学术

Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods

Published:2003-01 Issue:3 Volume:2003 Page:178-216
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Paulsen Jostein¹²,Rasmussen Bo Normann¹²

Affiliation:

1. a Department of Mathematics , University of Bergen

2. b PensionSelskaberne

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461230110106354

Reference30 articles.

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2. Asmussen, S. (1999) Stochastic simulation with a view towards stochastic processes. MaPhySto Lecture Notes, University of Aarhus 2.

3. Simulation of Ruin Probabilities for Subexponential Claims

4. Ruin probabilities via local adjustment coefficients

5. Asmussen S. Rubinstein R. Y. Complexity properties of steadystate reare events simulation in queueing models, Frontiers ire Queueing Dshalalow J. (ed.) CRC Press: Boca Raton 1995

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