Bibliographical references


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Bratley, P.; Fox, B.L. & Schrage, L.E. (1987). A guide to simulation, Springer-Verlag, New York.

Büh1mann,H. (1970). Mathematical methods in Risk Theory. Springer-Verlag, New York.

Burden, R.L. and Fau·es, J.D.(1985). Numerical Analysis, P.W.S., Boston.

De Vylder, Fo and Goovaerts, M.J. (1988). Recursive Calculation of Finite-time ruin probabilities, Insmance: Mathematics and Economics, 7, 1-7.

Fishman, G.S. (1996). Monte Cado: concepts, algorithms and applications. Springer series in operations research. Springer-Verlag, New York.

Haber, S. (1970). Numerical evaluation of multiple integrals, SIAM Rev., 12, 481-526.

Niederreiter, H. (1978). Quasi-Monte Cario methods and pseudorandom numbers, Bull. Amer. l'vfath. Soco, 84, 957-1041. - (1992). Random number generation and Quasi-Monte Cario methods, Society for industrial and applied mathematics, Philadelphia, PA.

Panjer, H.H. (1981). Recursive evaluation of a family of compound distributions, ASTlN Bulletin, 12, 22-26.

Panjer, H.H. & Willrnot, G.E. (1992). Ins'urance risk Models, Society of Actuaries, Schaumbmg.

Rubulsteul, R.y. (1981). Simulation and the Monte Cado Meihod, Wiley, New York.

Usábel, M.A. (1995). Cálculo numérico de probabilidades de ruina: Aplicación de la teoría de la renovación y de la simulación, Unpublished Ph. D. Thesis, Department of Finance and actuarial science, Universidad Complutense de Madrid, Spain. - (1995). A numerical method of estimating ruin probabilities in a simple financial model, Proc. XXV International Congress of Actuaries, September 1995, Brussels.