On asymptotically efficient simulation of ruin probabilities in a Markovian environment (Q4025275): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 03:23, 6 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On asymptotically efficient simulation of ruin probabilities in a Markovian environment |
scientific article |
Statements
On asymptotically efficient simulation of ruin probabilities in a Markovian environment (English)
0 references
18 February 1993
0 references
level crossing
0 references
ruin probabilities
0 references
Markov additive process
0 references
Monte Carlo simulation
0 references
importance sampling
0 references
simulation kernels
0 references
large deviations criterion
0 references
asymptotic efficiency
0 references