Applications to risk theory of a Montecarlo multiple integration method
| dc.contributor.author | Usábel Rodrigo, Miguel Arturo | |
| dc.date.accessioned | 2023-06-21T01:36:13Z | |
| dc.date.available | 2023-06-21T01:36:13Z | |
| dc.date.issued | 1997 | |
| dc.description.abstract | The evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. Using Monte Carlo simulation we will obtain an unbiased and consistent point estimator, and also confidence intervals as approximations of a special case of multiple integral frequently used in risle theory. The variance reduction achieved compared to straight simulation and some specific properties malee this approach interesting when approximating ruin probabilities. | |
| dc.description.department | Decanato | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/27020 | |
| dc.identifier.issn | 2255-5471 | |
| dc.identifier.relatedurl | https://economicasyempresariales.ucm.es/working-papers-ccee | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64129 | |
| dc.issue.number | 20 | |
| dc.language.iso | eng | |
| dc.page.total | 21 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Decanato | |
| dc.relation.ispartofseries | Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | Procesos estocásticos | |
| dc.subject.keyword | Riesgo | |
| dc.subject.keyword | Modelos matemáticos. | |
| dc.subject.ucm | Procesos estocásticos | |
| dc.subject.ucm | Teoría de la decisión | |
| dc.subject.unesco | 1208.08 Procesos Estocásticos | |
| dc.subject.unesco | 1209.04 Teoría y Proceso de decisión | |
| dc.title | Applications to risk theory of a Montecarlo multiple integration method | |
| dc.type | technical report | |
| dc.volume.number | 1997 | |
| dcterms.references | Bahvalov, N.S. (1959). On approximate calculation of multiple integrals, Vestnik Moscov. Univ. Ser. Mat. Meh. ABt. Fiz. Rim., 4, 3-8. Bratley, P.; Fox, B.L. & Schrage, L.E. (1987). A guide to simulation, Springer-Verlag, New York. Büh1mann,H. (1970). Mathematical methods in Risk Theory. Springer-Verlag, New York. Burden, R.L. and Fau·es, J.D.(1985). Numerical Analysis, P.W.S., Boston. De Vylder, Fo and Goovaerts, M.J. (1988). Recursive Calculation of Finite-time ruin probabilities, Insmance: Mathematics and Economics, 7, 1-7. Fishman, G.S. (1996). Monte Cado: concepts, algorithms and applications. Springer series in operations research. Springer-Verlag, New York. Haber, S. (1970). Numerical evaluation of multiple integrals, SIAM Rev., 12, 481-526. Niederreiter, H. (1978). Quasi-Monte Cario methods and pseudorandom numbers, Bull. Amer. l'vfath. Soco, 84, 957-1041. - (1992). Random number generation and Quasi-Monte Cario methods, Society for industrial and applied mathematics, Philadelphia, PA. Panjer, H.H. (1981). Recursive evaluation of a family of compound distributions, ASTlN Bulletin, 12, 22-26. Panjer, H.H. & Willrnot, G.E. (1992). Ins'urance risk Models, Society of Actuaries, Schaumbmg. Rubulsteul, R.y. (1981). Simulation and the Monte Cado Meihod, Wiley, New York. Usábel, M.A. (1995). Cálculo numérico de probabilidades de ruina: Aplicación de la teoría de la renovación y de la simulación, Unpublished Ph. D. Thesis, Department of Finance and actuarial science, Universidad Complutense de Madrid, Spain. - (1995). A numerical method of estimating ruin probabilities in a simple financial model, Proc. XXV International Congress of Actuaries, September 1995, Brussels. | |
| dspace.entity.type | Publication |
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