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- W2487348889 abstract "A general method is developed for giving simulation estimates of the probability ψ(u, T) of ruin before time T . When the probability law P governing the given risk reserve process is imbedded in an exponential family ( P θ ), one can write ψ( u, T ) = E θ R θ for certain random variables R θ given by the fundamental identity of sequential analysis. Using this to simulate from P θ rather than P , it is possible not only to overcome the difficulties connected with the case T = ∞, but also to obtain a considerable variance reduction. It is shown that the solution of the Lundberg equation determines the asymptotically optimal value of θ in heavy traffic when T = ∞, and some results guidelining the choice of θ when T < ∞ are also given. The potential of the method in complex models is illustrated by two examples." @default.
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- W2487348889 date "1984-03-01" @default.
- W2487348889 modified "2023-09-25" @default.
- W2487348889 title "Conjugate distributions and variance reduction in ruin probability simulation" @default.
- W2487348889 doi "https://doi.org/10.1017/s0001867800021960" @default.
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