Gatto, Riccardo (2015). A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes. Statistics & probability letters, 99, pp. 177184. NorthHolland 10.1016/j.spl.2015.01.019
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This article provides an importance sampling algorithm for computing the probability of ruin with recuperation of a spectrally negative Lévy risk process with lighttailed downwards jumps. Ruin with recuperation corresponds to the following double passage event: for some t∈(0,∞)t∈(0,∞), the risk process starting at level x∈[0,∞)x∈[0,∞) falls below the null level during the period [0,t][0,t] and returns above the null level at the end of the period tt. The proposed Monte Carlo estimator is logarithmic efficient, as t,x→∞t,x→∞, when y=t/xy=t/x is constant and below a certain bound.
Item Type: 
Journal Article (Original Article) 

Division/Institute: 
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science 
UniBE Contributor: 
Gatto, Riccardo 
Subjects: 
500 Science > 510 Mathematics 
ISSN: 
01677152 
Publisher: 
NorthHolland 
Language: 
English 
Submitter: 
Lutz Dümbgen 
Date Deposited: 
08 Jun 2015 10:41 
Last Modified: 
09 Sep 2017 21:56 
Publisher DOI: 
10.1016/j.spl.2015.01.019 
BORIS DOI: 
10.7892/boris.69133 
URI: 
https://boris.unibe.ch/id/eprint/69133 