Conjugate processes and the simulation of ruin problems
From MaRDI portal
Recommendations
- Simulation of ruin probabilities for risk processes of Markovian type
- Simulating the ruin probability of risk processes with delay in claim settlement
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
- On the Ruin Probability Under a Class of Risk Processes
- scientific article; zbMATH DE number 7267384
- Mixed Poisson processes and the probability of ruin
- Ruin probability for Gaussian integrated processes.
Cites work
- scientific article; zbMATH DE number 3841285 (Why is no real title available?)
- scientific article; zbMATH DE number 3844884 (Why is no real title available?)
- scientific article; zbMATH DE number 3709377 (Why is no real title available?)
- scientific article; zbMATH DE number 3732950 (Why is no real title available?)
- scientific article; zbMATH DE number 3766893 (Why is no real title available?)
- scientific article; zbMATH DE number 3495530 (Why is no real title available?)
- scientific article; zbMATH DE number 3600993 (Why is no real title available?)
- scientific article; zbMATH DE number 3602484 (Why is no real title available?)
- scientific article; zbMATH DE number 3431725 (Why is no real title available?)
- scientific article; zbMATH DE number 3236476 (Why is no real title available?)
- scientific article; zbMATH DE number 3338262 (Why is no real title available?)
- scientific article; zbMATH DE number 3393900 (Why is no real title available?)
- scientific article; zbMATH DE number 3196612 (Why is no real title available?)
- A Note on the Fundamental Identity of Sequential Analysis
- A class of approximations of ruin probabilities
- A remark on ‘A class of approximations of ruin probabilities’
- An introduction to the regenerative method for simulation analysis
- Approximations for the probability of ruin within finite time
- Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
- Corrected diffusion approximations in certain random walk problems
- Estimation of ruin probabilities
- Importance sampling in the Monte Carlo study of sequential tests
- Limit theorems for periodic queues
- On the Ruin Problem of Collective Risk Theory
- Regenerative simulation of response times in networks of queues
- Technical Note—Simulating the GI/G/1 Queue in Heavy Traffic
- The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
Cited in
(35)- Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
- Counterexamples in importance sampling for large deviations probabilities
- On the cumulant transforms for Hawkes processes
- Simulation methods of queues: An overview
- A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
- Non-Poissonian claims' arrivals and calculation of the probability of ruin
- Risk theory in a Markovian environment
- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- Ruin by dynamic contagion claims
- Simulating Ruin Probabilities for a Class of Semimartingales by Importance Sampling Methods
- RPA pathwise derivative estimation of ruin probabilities
- On A Surplus Process Under A Periodic Environment
- Rare event simulation for a slotted time M/G/s model
- Finding the conjugate of Markov fluid processes
- Simulating the ruin probability of risk processes with delay in claim settlement
- Efficient simulation of finite horizon problems in queueing and insurance risk
- Smoothed Monte Carlo estimators for the time-in-the-red in risk processes
- Uncertainty quantification and confidence intervals for naive rare-event estimators
- Simulation of ruin probabilities
- Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- The heavy traffic limit of a class of Markovian queueing models
- Rare events in queueing systems -- A survey
- A risk model with renewal shot-noise Cox process
- Simulating level crossing probabilities by importance sampling for non-decreasing compound Poisson processes with bounded jumps and a negative drift
- Dynamic importance sampling for uniformly recurrent Markov chains
- A bootstrap test for the probability of ruin in the compound Poisson risk process
- Cramér-Lundberg approximation for nonlinearly perturbed risk processes
- On Monte Carlo estimation of large deviations probabilities
- Rare-event simulation for neural network and random forest predictors
- scientific article; zbMATH DE number 3850334 (Why is no real title available?)
- Rare-event simulation for many-server queues
- scientific article; zbMATH DE number 1978951 (Why is no real title available?)
- On A Surplus Process Under A Periodic Environment
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
This page was built for publication: Conjugate processes and the simulation of ruin problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1063341)
