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SUMMARY:Rare event simulation for the ruin problem with investments via im
 portance sampling and duality - Collamore\, JF\, Vidyashankar\, AN (Copenh
 agen\; George Mason)
DTSTART:20100621T090000Z
DTEND:20100621T092500Z
UID:TALK25310@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We develop an efficient importance sampling algorithm for a Cr
 amr-Lundberg insurance model with stochastic investments. Our approach uti
 lizes the duality between this process and an extended GARCH(1\,1) financi
 al process. Using this duality and the regenerative structure of the GARCH
 (1\,1) 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 o
 f this problem and comment on statistical aspects of our algorithm.
LOCATION:Seminar Room 1\, Newton Institute
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