Asmussen, Søren; Rubinstein, Reuven Y. - In: Management Science 45 (1999) 8, pp. 1125-1141
We show how, from a single simulation run, to estimate the ruin probabilities and their sensitivities (derivatives) in a classic insurance risk model under various distributions of the number of claims and the claim size. Similar analysis is given for the tail probabilities of the accumulated...