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Explanation of Value at Risk by importance sampling
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Fri, 13 Oct 2017 09:14:03 GMTHello Everybody, I am studying...Hello Everybody, I am studying statistics applied to actuarial science, specially non life insurance mathematics. I am studying the method of importance sampling to get an estimator of the value at risk.

I am confused with somethings. I would like to understand how is the usage of value at risk in practice in the insurance field. Because I don�t have clear the reason fo simulate this risk measure, I mean If have my data set I can adjust my dataset to any loss distribution and the I can compute the probability of ruin and estimate the value at risk. But Why I need to perform a simulation? How to get the initial capital the premium rate? which values can I use? why is the importance of the importance sampling?

I am clear that I need to estimate aprobability of loss, in some cases the probability of loss can be very small depending of the initial capital, then with importance sampling method I will give more "importance" to the important values with low probability. But I am very unclear with the benefits in practice about the usage of this method.

Regards
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