RT Report
T1 Applications to risk theory of a Montecarlo multiple integration method
A1 Usábel Rodrigo, Miguel Arturo
AB 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.
PB Facultad de Ciencias Económicas y Empresariales. Decanato
SN 2255-5471
YR 1997
FD 1997
LK https://hdl.handle.net/20.500.14352/64129
UL https://hdl.handle.net/20.500.14352/64129
LA eng
DS Docta Complutense
RD 29 abr 2025