Martinelli, A. (2004) Simulating ruin probabilities for Markov-Additive processes by importance sampling methods. Technical Report. CNR. Istituto di Matematica Applicata e Tecnologie Informatiche (IMATI). Sezione di Milano, Milano, IT. (Unpublished)
![[img]](http://eprints.bice.rm.cnr.it/style/images/fileicons/text_html.png) |
HTML
04-16.html Restricted to Repository staff only Download (1kB) |
Abstract
In this paper we model a risk process, which starts from some positive level, by means of a Markov additive process with an underlying finite state Markov chain. We aim at evaluating the ruin probability corresponding to such processes by developing a suitable importance sampling algorithm. The ruin probability turns out to be a large deviations probability (as the initial level of the reserve diverges) under fairly general conditions. Given this, we determine an importance sampling measure and show it to be the only asymptotically efficient measure in a wide class of importance sampling measures
| Item Type: | Monograph (Technical Report) |
|---|---|
| Uncontrolled Keywords: | Markov additive processes; Large deviations theory; Ruin probability; Monte Carlo simulation |
| Subjects: | 500 Scienze naturali e Matematica > 510 Matematica |
| Depositing User: | biblioteca 3 |
| Date Deposited: | 15 Mar 2006 |
| Last Modified: | 20 May 2010 12:00 |
| URI: | http://eprints.bice.rm.cnr.it/id/eprint/139 |
Actions (login required)
 |
View Item |
