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An Introduction to Particle Integration Methods: With Applications to Risk and Insurance
Year Of Publication: 2012
Month Of Publication: October
Resource Link: Click here to open
Pages: 25
Download Count: 0
View Count: 1365
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-20-2012
Publisher: Administrator
Summary
It is the intention of this paper to introduce interacting particle methods to risk modelling. From a purely mathematical point of view, these stochastic samplers can be interpreted as Feynman-Kac particle integration methods. These functional models are natural mathematical extensions of the traditional change of probability measures, commonly used to design an importance sampling strategy. In this article, we provide a brief introduction to the stochastic modeling and the theoretical analysis of these particle algorithms. Then we conclude with an illustration of a subset of such methods to resolve important risk measure and capital estimation in risk and insurance modelling.
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Author(s)
Peters, Gareth Sign in to follow this author
Del Moral, Pierre Sign in to follow this author
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