04182674

j

04182674 Boogaert, P. De Waegenaere, A. Simulation of ruin probabilities. Insur. Math. Econ. 9, No.2-3, 95-99 (1990). 1990 Elsevier Science Publishers B.V. (North-Holland), Amsterdam EN classical model of risk theory homogeneous Poisson claim number process martingale transform transformed distributions approximation ruin probability

doi:10.1016/0167-6687(90)90020-E

The classical model of risk theory with homogeneous Poisson claim number process is considered. Then a direct simulation of the probability of ruin can be difficult and unstable for certain parameters and claim size distributions. Therefore the authors propose to use a martingale transform of the given process first, then perform the simulation for the transformed distributions and use the result to obtain a good approximation for the original ruin probability. Three special examples are carried out in detail. W.-R.Heilmann