Template-type: ReDIF-Paper 1.0
Author-Name: Miguel Arturo Usábel Rodrigo
Author-Workplace-Name:
 Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Title: Applications to risk theory of a Montecarlo multiple integration method
Abstract: The evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. 
	Using Monte Carlo simulation we will obtain an unbiased and consistent point estimator, and also confidence intervals as 
	approximations of a special case of multiple integral frequently used in risle theory. The variance reduction achieved 
	compared to straight simulation and some specific properties malee this approach interesting when approximating ruin 
	probabilities.
Keywords: Procesos estocásticos; Riesgo; Modelos matemáticos.
Length: 19 pages 
Creation-Date: 1997
Number: 97-20 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra97-20.txt
File-URL: https://eprints.ucm.es/id/eprint/27020/1/9720.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:97-20