Simulation of Ruin Probability with Heavy-Tail Claims by Control Variates
碩士 === 國立東華大學 === 應用數學系 === 98 === The ruin probability of very small order is a difficulty object to be correctly estimated. If, in addition, the claim size has a heavy tail, the convergence of straightforward estimator is hopeless. The difficulty is that relative error diverges as the probability...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/27199905721758971852 |