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2024 | OriginalPaper | Chapter

Numerical Computation of Risk Functionals in PDMP Risk Models

Authors : Lea Enzi, Stefan Thonhauser

Published in: Monte Carlo and Quasi-Monte Carlo Methods

Publisher: Springer International Publishing

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Abstract

We analyze the ruin event in a Markovian insurance risk model. For actual computations of risk functionals, we sketch different numerical approaches and focus on assessing the performance of a quantization algorithm. Since by nature ruin should be a rare event, it is necessary to deploy a variance reduction technique based on a proper change of measure.

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Title: Numerical Computation of Risk Functionals in PDMP Risk Models
Authors: Lea Enzi
Stefan Thonhauser
Publisher: Springer International Publishing
Book: Monte Carlo and Quasi-Monte Carlo Methods
Print ISBN: 978-3-031-59761-9

Electronic ISBN: 978-3-031-59762-6

Copyright Year: 2024
DOI: https://doi.org/10.1007/978-3-031-59762-6_10

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