On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms (Q2655599): Difference between revisions

@@ Property / author @@
-Dominik Kortschak
@@ Property / author: Dominik Kortschak / rank @@
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@@ Property / author @@
+Dominik Kortschak
@@ Property / author: Dominik Kortschak / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1007/s11857-009-0088-0
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+W2019623327
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@@ Property / cites work @@
+QMC techniques for CAT bond pricing *
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+Applied Probability and Queues
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+Rare events simulation for heavy-tailed distributions
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+Improved algorithms for rare event simulation with heavy tails
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+Asymptotics of sums of lognormal random variables with Gaussian copula
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+The tail behaviour of a random sum of subexponential random variables and vectors
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+Q4343010
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+On Interchanging Limits and Integrals
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+Q5482007
@@ Property / cites work: Q5482007 / rank @@
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+Importance sampling in the Monte Carlo study of sequential tests
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