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RPA pathwise derivative estimation of ruin probabilities

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  • J. Vazquez-Abad, Felisa

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  • J. Vazquez-Abad, Felisa, 2000. "RPA pathwise derivative estimation of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 269-288, May.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:2-3:p:269-288
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    References listed on IDEAS

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    1. Dufresne, François & Gerber, Hans U., 1989. "Three Methods to Calculate the Probability of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 19(1), pages 71-90, April.
    2. Martin I. Reiman & Alan Weiss, 1989. "Sensitivity Analysis for Simulations via Likelihood Ratios," Operations Research, INFORMS, vol. 37(5), pages 830-844, October.
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    Cited by:

    1. Cai, Jun & Dickson, David C. M., 2003. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 61-71, February.

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