Título:
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Applications to risk theory of a Montecarlo multiple integration method
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Autores:
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Usábel Rodrigo, Miguel Arturo
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Decanato, 1997
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Procesos estocásticos
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Materia = Ciencias: Matemáticas: Teoría de la decisión
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/id/eprint/27020/1/9720.pdf
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