On the typical level crossing time and path
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Cites work
- scientific article; zbMATH DE number 3820960 (Why is no real title available?)
- scientific article; zbMATH DE number 3903723 (Why is no real title available?)
- scientific article; zbMATH DE number 3604245 (Why is no real title available?)
- scientific article; zbMATH DE number 3365044 (Why is no real title available?)
- Entropy, a useful concept in risk theory
- Finite-time Lundberg inequalities in the Cox case
- Importance sampling in the Monte Carlo study of sequential tests
- Large deviations for a general class of random vectors
- Large deviations for functionals of stationary processes
- Large deviations for some weakly dependent random processes
- Limit theorems for first-passage times in linear and non-linear renewal theory
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
- Risk theory in a Markovian environment
- Rough limit results for level-crossing probabilities
- Ruin theory in the linear model
- Simulating level-crossing probabilities by importance sampling
- Upper bounds for large deviations of dependent random vectors
Cited in
(5)- scientific article; zbMATH DE number 482615 (Why is no real title available?)
- Long strange segments, ruin probabilities and the effect of memory on moving average processes
- Power estimates for ruin probabilities
- An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
- Finite and infinite time ruin probabilities in a stochastic economic environment.
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