On asymptotically efficient simulation of ruin probabilities in a Markovian environment (Q4025275)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On asymptotically efficient simulation of ruin probabilities in a Markovian environment |
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On asymptotically efficient simulation of ruin probabilities in a Markovian environment (English)
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18 February 1993
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level crossing
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ruin probabilities
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Markov additive process
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Monte Carlo simulation
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importance sampling
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simulation kernels
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large deviations criterion
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asymptotic efficiency
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