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Simulation of ruin probabilities for risk processes of Markovian type

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  • Albrecher Hansjörg
  • Kantor Josef

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  • Albrecher Hansjörg & Kantor Josef, 2002. "Simulation of ruin probabilities for risk processes of Markovian type," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 111-128, December.
    • Handle: RePEc:bpj:mcmeap:v:8:y:2002:i:2:p:111-128:n:1
    DOI: 10.1515/mcma.2002.8.2.111
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    References listed on IDEAS

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    1. H. Albrecher, 1998. "Dependent Risks and Ruin Probabilities in Insurance," Working Papers ir98072, International Institute for Applied Systems Analysis.
    2. Promislow, S. David, 1991. "The probability of ruin in a process with dependent increments," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 99-107, July.
    3. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    4. Asmussen, S. & Binswanger, K., 1997. "Simulation of Ruin Probabilities for Subexponential Claims," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 297-318, November.
    5. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
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    Cited by:

    1. Meng, Qingbin & Zhang, Xin & Guo, Junyi, 2008. "On a risk model with dependence between claim sizes and claim intervals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1727-1734, September.
    2. Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
    3. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
    4. Coulibaly, Ibrahim & Lefèvre, Claude, 2008. "On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 935-942, June.

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