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Applications to risk theory of a Montecarlo multiple integration method

Author

Listed:
  • Miguel Arturo Usábel Rodrigo

    ( Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.)

Abstract

The 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.

Suggested Citation

  • Miguel Arturo Usábel Rodrigo, 1997. "Applications to risk theory of a Montecarlo multiple integration method," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 97-20, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:97-20
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