Sensitivity analysis and density estimation for finite-time ruin probabilities

Abstract : 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.
Complete list of metadatas

Cited literature [25 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00201347
Contributor : Stéphane Loisel <>
Submitted on : Tuesday, April 1, 2008 - 2:22:59 PM
Last modification on : Thursday, February 8, 2018 - 11:09:29 AM
Long-term archiving on : Friday, November 25, 2016 - 9:44:44 PM

File

Loisel-Privault-ISFA-WP2041-v2...
Files produced by the author(s)

Identifiers

Collections

Citation

Stéphane Loisel, Nicolas Privault. Sensitivity analysis and density estimation for finite-time ruin probabilities. Journal of Computational and Applied Mathematics, Elsevier, 2009, 230 (1), pp.107-120. ⟨10.1016/j.cam.2008.10.066⟩. ⟨hal-00201347v3⟩

Share

Metrics

Record views

282

Files downloads

399