Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes (Q279859): Difference between revisions

@@ Property / OpenAlex ID @@
+W2032973966
@@ Property / OpenAlex ID: W2032973966 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Conjugate processes and the simulation of ruin problems
+Normal rank
@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
+Normal rank
@@ Property / cites work @@
+On the optimal dividend problem for a spectrally negative Lévy process
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+On a generalization of the Gerber-Shiu function to path-dependent penalties
+Normal rank
@@ Property / cites work @@
+Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
+Normal rank
@@ Property / cites work @@
+Rare event simulation for processes generated via stochastic fixed point equations
+Normal rank
@@ Property / cites work @@
+Saddlepoint Approximations in Statistics
@@ Property / cites work: Saddlepoint Approximations in Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy stable noise-induced transitions: stochastic resonance, resonant activation and dynamic hysteresis
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Stable Lévy motion approximation in collective risk theory
+Normal rank
@@ Property / cites work @@
+Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
+Normal rank
@@ Property / cites work @@
+Useful martingales for stochastic storage processes with Lévy input
+Normal rank
@@ Property / cites work @@
+Ruin probabilities and overshoots for general Lévy insurance risk processes
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
+Normal rank
@@ Property / cites work @@
+Saddle point approximation for the distribution of the sum of independent random variables
+Normal rank
@@ Property / cites work @@
+Risk Theory with the Generalized Inverse Gaussian Lévy Process
+Normal rank
@@ Property / cites work @@
+Cramér asymptotics for finite time first passage probabilities of general Lévy processes
+Normal rank
@@ Property / cites work @@
+Flights towards defection in economic transactions
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Importance sampling in the Monte Carlo study of sequential tests
+Normal rank
@@ Property / cites work @@
+Spectrally negative Lévy processes with applications in risk theory
+Normal rank
@@ Property / cites work @@
+Q5528195
@@ Property / cites work: Q5528195 / rank @@
+Normal rank