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Document Details :

Title: Estimating the Probability of Ruin for Variable Premiums by Simulation
Author(s): MICHAUD, F.
Journal: ASTIN Bulletin
Volume: 26    Issue: 1   Date: May 1996   
Pages: 93-105
DOI: 10.2143/AST.26.1.563235

Abstract :
There is a duality between the surplus process of classical risk theory and the single-server queue. It follows that the probability of rum can be retrieved from a single sample path of the waiting time process of the single-server queue. In this paper, premiums are allowed to vary It has been shown that the stationary distribution of a corresponding storage process is equal to the survival probability (with variable premiums) Thus by simulation of the corresponding storage process, the probability of rum can be obtained The special cases where the surplus earns interest and the premiums are charged by layers are considered and illustrated numerically.