Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes

This article provides importance sampling algorithms for computing the probabilities of various types ruin of spectrally negative Lévy risk processes, which are ruin over the infinite time horizon, ruin within a finite time horizon and ruin past a finite time horizon. For the special case of the compound Poisson process perturbed by diffusion, algorithms for computing probabilities of ruins by creeping (i.e. induced by the diffusion term) and by jumping (i.e. by a claim amount) are provided. It is shown that these algorithms have either bounded relative error or logarithmic efficiency, as t,x→∞t,x→∞, where t>0t>0 is the time horizon and x>0x>0 is the starting point of the risk process, with y=t/xy=t/x held constant and assumed either below or above a certain constant.

A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes

This article provides an importance sampling algorithm for computing the probability of ruin with recuperation of a spectrally negative Lévy risk process with light-tailed downwards jumps. Ruin with recuperation corresponds to the following double passage event: for some t∈(0,∞)t∈(0,∞), the risk process starting at level x∈[0,∞)x∈[0,∞) falls below the null level during the period [0,t][0,t] and returns above the null level at the end of the period tt. The proposed Monte Carlo estimator is logarithmic efficient, as t,x→∞t,x→∞, when y=t/xy=t/x is constant and below a certain bound.

Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion

A large deviations type approximation to the probability of ruin within a finite time for the compound Poisson risk process perturbed by diffusion is derived. This approximation is based on the saddlepoint method and generalizes the approximation for the non-perturbed risk process by Barndorff-Nielsen and Schmidli (Scand Actuar J 1995(2):169–186, 1995). An importance sampling approximation to this probability of ruin is also provided. Numerical illustrations assess the accuracy of the saddlepoint approximation using importance sampling as a benchmark. The relative deviations between saddlepoint approximation and importance sampling are very small, even for extremely small probabilities of ruin. The saddlepoint approximation is however substantially faster to compute.

A modified gambler's ruin model of polyethylene chains in the amorphous region.

Polyethylene chains in the amorphous region between two crystalline lamellae M unit apart are modeled as random walks with one-step memory on a cubic lattice between two absorbing boundaries. These walks avoid the two preceding steps, though they are not true self-avoiding walks. Systems of difference equations are introduced to calculate the statistics of the restricted random walks. They yield that the fraction of loops is (2M - 2)/(2M + 1), the fraction of ties 3/(2M + 1), the average length of loops 2M - 0.5, the average length of ties 2/3M2 + 2/3M - 4/3, the average length of walks equals 3M - 3, the variance of the loop length 16/15M3 + O(M2), the variance of the tie length 28/45M4 + O(M3), and the variance of the walk length 2M3 + O(M2).

Awatovi Ruin : Keams Canyon Vicinity, Arizona.

Shipping list no.: 91-0099-P.

The Roman history : from the building of Rome to the ruin of the commonwealth.

Mode of access: Internet.

Report on Platt and Wind cave national parks, Sullys hill park, Casa Grande ruin, Muir woods, Petrified forest, and other national monuments, including list of bird reserves, 1911-1913.

Electronic text and image data

The Roman history, from the building of Rome to the ruin of the commonwealth...

Mode of access: Internet.

The Roman history : from the building of Rome to the ruin of the commonwealth /

Includes bibliographical references and index.