University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Rare event simulation for the ruin problem with investments via importance sampling and duality

Rare event simulation for the ruin problem with investments via importance sampling and duality

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Stochastic Processes in Communication Sciences

We develop an efficient importance sampling algorithm for a Cramr-Lundberg insurance model with stochastic investments. Our approach utilizes the duality between this process and an extended GARCH financial process. Using this duality and the regenerative structure of the GARCH financial process, we introduce a novel large deviation change of measure idea to compute the probability of ruin for the insurance process. Finally, we examine state-dependent importance sampling in the context of this problem and comment on statistical aspects of our algorithm.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

 

© 2006-2020 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity