Conjugate processes and the simulation of ruin problems

DOI10.1016/0304-4149(85)90211-XzbMath0574.60095OpenAlexW2147019279MaRDI QIDQ1063341

Soren Asmussen

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90211-x

zbMATH Keywords

heavy trafficperiodic queuesrisk reserve processcompound Poisson risk processesfundamental identity of sequential analysissimulation estimates of boundary crossing probabilities

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (24)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes ⋮ The heavy traffic limit of a class of Markovian queueing models ⋮ Counterexamples in importance sampling for large deviations probabilities ⋮ Simulation methods of queues: An overview ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ A risk model with renewal shot-noise Cox process ⋮ On the cumulant transforms for Hawkes processes ⋮ Ruin by dynamic contagion claims ⋮ Cramér-Lundberg approximation for nonlinearly perturbed risk processes ⋮ On A Surplus Process Under A Periodic Environment ⋮ On A Surplus Process Under A Periodic Environment ⋮ A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process ⋮ Simulating the ruin probability of risk processes with delay in claim settlement ⋮ Rare event simulation for a slotted time M/G/s model ⋮ Dynamic importance sampling for uniformly recurrent Markov chains ⋮ Finding the Conjugate of Markov Fluid Processes ⋮ Non-Poissonian claims' arrivals and calculation of the probability of ruin ⋮ On Monte Carlo estimation of large deviations probabilities ⋮ Risk theory in a Markovian environment ⋮ Rare-Event Simulation for Many-Server Queues ⋮ RPA pathwise derivative estimation of ruin probabilities ⋮ A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes ⋮ Rare events in queueing systems -- A survey

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Regenerative simulation of response times in networks of queues
• Estimation of ruin probabilities
• Importance sampling in the Monte Carlo study of sequential tests
• An introduction to the regenerative method for simulation analysis
• A Note on the Fundamental Identity of Sequential Analysis
• On the Ruin Problem of Collective Risk Theory
• Technical Note—Simulating the GI/G/1 Queue in Heavy Traffic
• Approximations for the probability of ruin within finite time
• Corrected diffusion approximations in certain random walk problems
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Limit theorems for periodic queues
• The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule
• A class of approximations of ruin probabilities
• A remark on ‘A class of approximations of ruin probabilities’
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)

This page was built for publication: Conjugate processes and the simulation of ruin problems