Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes (Q279859): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/j.amc.2014.05.077 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.AMC.2014.05.077 / rank | |||
Normal rank | |||
Revision as of 15:37, 8 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes |
scientific article |
Statements
Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes (English)
0 references
29 April 2016
0 references
bounded relative error
0 references
exponential tilt
0 references
Legendre-Fenchel transform
0 references
logarithmic efficiency
0 references
Lundberg conjugated measure
0 references
ruin due to creeping and to jump
0 references
0 references
0 references
0 references
0 references
0 references
