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| HAL : hal-00201347, version 3 |
| DOI : 10.1016/j.cam.2008.10.066 |
| Fiche détaillée |  Récupérer au format |
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| Journal of Computational and Applied Mathematics 230, 1 (2009) 107-120 |
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| Versions disponibles : | v1 (03-01-2008) | v2 (04-01-2008) | v3 (01-04-2008) |
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| Sensitivity analysis and density estimation for finite-time ruin probabilities |
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Stéphane Loisel 1Nicolas Privault 2 |
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| (2009) |
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| 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. |
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| 1 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| 2 : | Department of Mathematics |
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City University of Hong Kong |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités |
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| Ruin probability – Malliavin calculus – insurance – integration by parts |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00201347, version 3 | |
| http://hal.archives-ouvertes.fr/hal-00201347 | |
| oai:hal.archives-ouvertes.fr:hal-00201347 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Mardi 1 Avril 2008, 14:22:59 | |
| Dernière modification le : Lundi 25 Janvier 2010, 22:21:21 | |
