Coulibaly, Ibrahim; Lefèvre, Claude - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 935-942
This note discusses a simple quasi-Monte Carlo method to evaluate numerically the ultimate ruin probability in the classical compound Poisson risk model. The key point is the Pollaczek-Khintchine representation of the non-ruin probability as a series of convolutions. Our suggestion is to...