TY - JOUR
T1 - Sensitivity analysis and density estimation for finite-time ruin probabilities
AU - Loisel, Stéphane
AU - Privault, Nicolas
PY - 2009/8/1
Y1 - 2009/8/1
N2 - The goal of this paper is to obtain probabilistic representation formulas that are suitable for the numerical computation of the (possibly non-continuous) density functions of infima of reserve processes commonly used in insurance. In particular we show, using Monte Carlo simulations, that these representation formulas perform better than standard finite difference methods. Our approach differs from Malliavin probabilistic representation formulas which generally require more smoothness on random variables and entail the continuity of their density functions. © 2008 Elsevier B.V. All rights reserved.
AB - The goal of this paper is to obtain probabilistic representation formulas that are suitable for the numerical computation of the (possibly non-continuous) density functions of infima of reserve processes commonly used in insurance. In particular we show, using Monte Carlo simulations, that these representation formulas perform better than standard finite difference methods. Our approach differs from Malliavin probabilistic representation formulas which generally require more smoothness on random variables and entail the continuity of their density functions. © 2008 Elsevier B.V. All rights reserved.
KW - Insurance mathematics
KW - Integration by parts
KW - Malliavin calculus
KW - Ruin probability
UR - http://www.scopus.com/inward/record.url?scp=67349097867&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-67349097867&origin=recordpage
U2 - 10.1016/j.cam.2008.10.066
DO - 10.1016/j.cam.2008.10.066
M3 - RGC 21 - Publication in refereed journal
SN - 0377-0427
VL - 230
SP - 107
EP - 120
JO - Journal of Computational and Applied Mathematics
JF - Journal of Computational and Applied Mathematics
IS - 1
ER -