کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154497 1489880 2015 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
چکیده انگلیسی

This article provides an importance sampling algorithm for computing the probability of ruin with recuperation of a spectrally negative Lévy risk process with light-tailed downwards jumps. Ruin with recuperation corresponds to the following double passage event: for some t∈(0,∞)t∈(0,∞), the risk process starting at level x∈[0,∞)x∈[0,∞) falls below the null level during the period [0,t][0,t] and returns above the null level at the end of the period tt. The proposed Monte Carlo estimator is logarithmic efficient, as t,x→∞t,x→∞, when y=t/xy=t/x is constant and below a certain bound.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 99, April 2015, Pages 177–184
نویسندگان
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