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

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+bounded relative error
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+exponential tilt
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+Legendre-Fenchel transform
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+logarithmic efficiency
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+Lundberg conjugated measure
@@ Property / zbMATH Keywords: Lundberg conjugated measure / rank @@
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+ruin due to creeping and to jump
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+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
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@@ Property / cites work @@
+Conjugate processes and the simulation of ruin problems
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@@ Property / cites work @@
+Stochastic simulation: Algorithms and analysis
@@ Property / cites work: Stochastic simulation: Algorithms and analysis / rank @@
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@@ Property / cites work @@
+On the optimal dividend problem for a spectrally negative Lévy process
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+Q4888858
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+On a generalization of the Gerber-Shiu function to path-dependent penalties
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+Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
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+Rare event simulation for processes generated via stochastic fixed point equations
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+Saddlepoint Approximations in Statistics
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+Spectrally negative Lévy processes with applications in risk theory
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+Q5528195
@@ Property / cites work: Q5528195 / rank @@
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+Publication:279859