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EFFICIENT MONTE CARLO ALGORITHMS FOR ALLOCATION OF INSURANCE RISKS
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.
insurance, monte carlo, sequential monte carlo, particle filters
Rodrigo dos Santos Targino