Conjugate processes and the simulation of ruin problems (Q1063341): Difference between revisions

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-Soren Asmussen
@@ Property / author: Soren Asmussen / rank @@
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+Soren Asmussen
@@ Property / author: Soren Asmussen / rank @@
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+MaRDI publication profile
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@@ Property / cites work @@
+Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the <i>GI/G/</i>1 queue
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@@ Property / cites work @@
+Approximations for the probability of ruin within finite time
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@@ Property / cites work @@
+A Note on the Fundamental Identity of Sequential Analysis
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@@ Property / cites work @@
+Q4167890
@@ Property / cites work: Q4167890 / rank @@
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+Q3314809
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+Q3920345
@@ Property / cites work: Q3920345 / rank @@
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+An introduction to the regenerative method for simulation analysis
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@@ Property / cites work @@
+A class of approximations of ruin probabilities
@@ Property / cites work: A class of approximations of ruin probabilities / rank @@
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@@ Property / cites work @@
+A remark on ‘A class of approximations of ruin probabilities’
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@@ Property / cites work @@
+Q5732992
@@ Property / cites work: Q5732992 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for periodic queues
@@ Property / cites work: Limit theorems for periodic queues / rank @@
+Normal rank
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+The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule
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@@ Property / cites work @@
+Regenerative simulation of response times in networks of queues
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+Q5615180
@@ Property / cites work: Q5615180 / rank @@
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@@ Property / cites work @@
+Q4077388
@@ Property / cites work: Q4077388 / rank @@
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+Technical Note—Simulating the <i>GI</i>/<i>G</i>/1 Queue in Heavy Traffic
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@@ Property / cites work @@
+On the Ruin Problem of Collective Risk Theory
@@ Property / cites work: On the Ruin Problem of Collective Risk Theory / rank @@
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@@ Property / cites work @@
+Q3900799
@@ Property / cites work: Q3900799 / rank @@
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+Q3311717
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@@ Property / cites work @@
+Q5183043
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+Q5661295
@@ Property / cites work: Q5661295 / rank @@
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@@ Property / cites work @@
+The numerical calculation of<i>U</i>(<i>w, t</i>), the probability of non-ruin in an interval (0,<i>t</i>)
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@@ Property / cites work @@
+Q4167462
@@ Property / cites work: Q4167462 / rank @@
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@@ Property / cites work @@
+Importance sampling in the Monte Carlo study of sequential tests
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@@ Property / cites work @@
+Corrected diffusion approximations in certain random walk problems
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@@ Property / cites work @@
+Q5524051
@@ Property / cites work: Q5524051 / rank @@
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@@ Property / cites work @@
+Estimation of ruin probabilities
@@ Property / cites work: Estimation of ruin probabilities / rank @@
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+Q3948486
@@ Property / cites work: Q3948486 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4149(85)90211-x
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+W2147019279
@@ Property / OpenAlex ID: W2147019279 / rank @@
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