Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (Q3122061): Difference between revisions

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+Stochastic Kriging for Simulation Metamodeling
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+Sequential design of computer experiments for the estimation of a probability of failure
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+Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments
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+Nonlinear integer programming for optimal allocation in stratified sampling
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+Efficient Risk Estimation via Nested Sequential Simulation
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+Evaluating the goodness of fit of stochastic mortality models
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+Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
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+Interest rate dynamics, derivatives pricing, and risk management
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+\textit{KrigInv}: an efficient and user-friendly implementation of batch-sequential inversion strategies based on kriging
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+FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
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+A Fully Sequential Elimination Procedure for Indifference-Zone Ranking and Selection with Tight Bounds on Probability of Correct Selection
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+Matrix computations.
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+Nested Simulation in Portfolio Risk Measurement
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+Gaussian processes and limiting linear models
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+A new distribution-free quantile estimator
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+A method for the updating of stochastic Kriging metamodels
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+Quantifying and Correcting the Bias in Estimated Risk Measures
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+Sequential design of experiments for estimating percentiles of black-box functions
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+An efficient methodology for modeling complex computer codes with Gaussian processes
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+Estimating Percentiles of Uncertain Computer Code Outputs
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+The design and analysis of computer experiments.
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+A New Family of Nonparametric Quantile Estimators
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+Kernel Quantile Estimators
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