Monte Carlo simulation of the renewal function

DOI10.2307/3213288MaRDI QIDQ3909790zbMATH OpenOpenAlexFDO

Authors Mark Brown, H. Solomon, Michael A. Stephens

Publication date 1981

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213288

zbMATH Keywords

cumulative processesrenewal theoryvariance reduction

Mathematics Subject Classification ID

Renewal theory (60K05) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cited in

(13)

• Stochastic successive approximation method for assessing the insolvency risk of an insurance company
• Some monotonicity and dependence properties of self-exciting point processes
• Monte-Carlo estimate of the probability of ruin in a compound Poisson model of risk theory
• Terminating renewal processes: analytical-statistical estimates and their efficiency
• Renewal Function and Interval Availability: A Numerical Monte-Carlo Study
• Estimating the Mean Number of Renewals By Simulation
• Exponential approximation to Weibull renewal with decreasing failure rate
• Weibull and Gamma Renewal Approximation Using Generalized Exponential Functions
• Analytical-statistical estimates for some reliability and efficiency measures of semi-Markov systems
• Nonstationary bounds of the characteristics of markovian renewal processes in classes of ?aging? distributions
• Estimation of the generalized exponential renewal function
• Computation of the mean value and variance functions in geometric process
• A Pointwise Estimator for thek-Fold Convolution of a Distribution Function

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