Publication: Applications to risk theory of a Montecarlo multiple integration method
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1997
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Facultad de Ciencias Económicas y Empresariales. Decanato
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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.
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