Conjugate processes and the simulation of ruin problems
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- scientific article; zbMATH DE number 7267384
- Mixed Poisson processes and the probability of ruin
- Ruin probability for Gaussian integrated processes.
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Cited in
(34)- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- Rare event simulation for a slotted time M/G/s model
- Simulation of ruin probabilities
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- Risk theory in a Markovian environment
- On A Surplus Process Under A Periodic Environment
- Simulating level crossing probabilities by importance sampling for non-decreasing compound Poisson processes with bounded jumps and a negative drift
- Ruin by dynamic contagion claims
- Efficient simulation of finite horizon problems in queueing and insurance risk
- On Monte Carlo estimation of large deviations probabilities
- Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods
- A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
- RPA pathwise derivative estimation of ruin probabilities
- The heavy traffic limit of a class of Markovian queueing models
- Counterexamples in importance sampling for large deviations probabilities
- Rare-event simulation for many-server queues
- A bootstrap test for the probability of ruin in the compound Poisson risk process
- A risk model with renewal shot-noise Cox process
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- Smoothed Monte Carlo estimators for the time-in-the-red in risk processes
- On the cumulant transforms for Hawkes processes
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- Rare events in queueing systems -- A survey
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- On A Surplus Process Under A Periodic Environment
- Finding the conjugate of Markov fluid processes
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
- Dynamic importance sampling for uniformly recurrent Markov chains
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