论文标题
当索赔是沉重和轻尾的混合物时，有效模拟了废墟概率
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
论文作者
论文摘要
我们考虑具有索赔大小的经典cramér-lundberg风险模型，这些风险大小是相型和跨指数变量的混合物。利用特定的几何化合物表示，我们提出了控制变量技术，以有效地模拟这种情况下的破坏概率。最初和大初始资本的结果估计量都很好。我们根据经典Pollaczek-khinchine公式量化了方法的差异降低以及方法的效率增长。我们提供了一个数字示例来说明性能，并表明，对于更耗时的有条件蒙特卡洛技术，新的系列表示形式也与基于Pollaczek-khinchine公式的序列表示不利。
We consider the classical Cramér-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound representation, we propose control variate techniques to efficiently simulate the ruin probability in this situation. The resulting estimators perform well for both small and large initial capital. We quantify the variance reduction as well as the efficiency gain of our method over another fast standard technique based on the classical Pollaczek-Khinchine formula. We provide a numerical example to illustrate the performance, and show that for more time-consuming conditional Monte Carlo techniques, the new series representation also does not compare unfavorably to the one based on the Pollaczek- Khinchine formula.
