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derivative estimation
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importance sampling
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likelihood ratio
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premium rule
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push-out method
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rare event
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reinsurance
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ruin probability
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score function
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Asmussen, Søren
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Management Science
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Sensitivity Analysis of Insurance Risk Models via Simulation
Asmussen, Søren
;
Rubinstein, Reuven Y.
- In:
Management Science
45
(
1999
)
8
,
pp. 1125-1141
function method and in the latter, a combination of the
push-out
method
and the score function. We finally show how, from the …
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