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Simulation of ruin probabilities for risk processes of Markovian type. (English) Zbl 1014.91055
Summary: We consider a generalisation of the classical risk model, where consecutive claims may be dependent according to a Markovian structure represented by a copula function for the joint distribution function of the claims. For various marginal claim size distributions and copula functions ruin probabilities are simulated via Monte Carlo and an importance sampling technique for variance reduction is developed.

MSC:
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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