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Simulation of Ruin Probabilities for Subexponential Claims

Published online by Cambridge University Press:  29 August 2014

S. Asmussen  and
K. Binswanger
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Abstract

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We consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense. We use the simulation methods to study the accuracy of the standard Embrechts-Veraverbeke [16] approximation for the ruin probability and also suggest a new one based upon ideas of Hogan [21].

Keywords

Conditional Monte Carlocorrected diffusion approximationladder heightsorder statisticsPollaczeck-Khinchine formulaprobability of ultimate ruinrare eventsregular variationsubexponential distribution

Information

Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 2 , November 1997 , pp. 297 - 318
Copyright
Copyright © International Actuarial Association 1997

References

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