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Applications to risk theory of a Monte Carlo multiple integration method

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  • Usabel, Miguel A.

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  • Usabel, Miguel A., 1998. "Applications to risk theory of a Monte Carlo multiple integration method," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 71-83, October.
    • Handle: RePEc:eee:insuma:v:23:y:1998:i:1:p:71-83
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    References listed on IDEAS

    as
    1. De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January.
    2. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Cited by:

    1. Alrefaei, Mahmoud H. & Abdul-Rahman, Houssam M., 2008. "An adaptive Monte Carlo integration algorithm with general division approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 49-59.
    2. He, Yue & Kawai, Reiichiro, 2022. "Moment and polynomial bounds for ruin-related quantities in risk theory," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1255-1271.
    3. Migon, Helio S. & Moura, Fernando A.S., 2005. "Hierarchical Bayesian collective risk model: an application to health insurance," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 119-135, April.
    4. Beachkofski Brian, 2009. "Comparison of descriptive statistics for multidimensional point sets," Monte Carlo Methods and Applications, De Gruyter, vol. 15(3), pages 211-228, January.
    5. Usabel, M. A., 1999. "A note on the Taylor series expansions for multivariate characteristics of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 37-47, September.
    6. 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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