Usábel Rodrigo, Miguel Arturo2023-06-212023-06-211997Bahvalov, 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 Cálculo numérico de probabilidades de ruina: Aplicación de la teoría de la renovación y de la simulación, Unpublished Ph.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.2255-5471https://hdl.handle.net/20.500.14352/64129The 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.engAtribución-NoComercial-CompartirIgual 3.0 Españatechnical reporthttps://economicasyempresariales.ucm.es/working-papers-cceeopen accessProcesos estocásticosRiesgoModelos matemáticos.Procesos estocásticosTeoría de la decisión1208.08 Procesos Estocásticos1209.04 Teoría y Proceso de decisión