Dados do Trabalho

Título

EFFICIENT MONTE CARLO ALGORITHMS FOR ALLOCATION OF INSURANCE RISKS

Resumo

Motivated by the problem of actuarial risk allocation (the process of splitting the risk of a portfolio amongst its constituents), I will present algorithms for the computation of expectations conditional to rare events. The algorithms will be based on Sequential Monte Carlo methods and recent pseudo-marginal techniques will be used to perform parameter estimation together with the expectation calculation.

Palavras-chave

insurance, monte carlo, sequential monte carlo, particle filters

Área

Estatística Computacional