For a risk process with reserve dependent premium rate, we study sample path large deviations and provide a fast simulation procedure to estimate the corresponding ruin probability.
A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
Torrisi GL
2007
Abstract
For a risk process with reserve dependent premium rate, we study sample path large deviations and provide a fast simulation procedure to estimate the corresponding ruin probability.File in questo prodotto:
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