Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes (Q279859)
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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)
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29 April 2016
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bounded relative error
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exponential tilt
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Legendre-Fenchel transform
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logarithmic efficiency
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Lundberg conjugated measure
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ruin due to creeping and to jump
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