Conjugate processes and the simulation of ruin problems
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Publication:1063341
DOI10.1016/0304-4149(85)90211-XzbMath0574.60095OpenAlexW2147019279MaRDI QIDQ1063341
Publication date: 1985
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(85)90211-x
heavy trafficperiodic queuesrisk reserve processcompound Poisson risk processesfundamental identity of sequential analysissimulation estimates of boundary crossing probabilities
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Related Items (24)
Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes ⋮ The heavy traffic limit of a class of Markovian queueing models ⋮ Counterexamples in importance sampling for large deviations probabilities ⋮ Simulation methods of queues: An overview ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ A risk model with renewal shot-noise Cox process ⋮ On the cumulant transforms for Hawkes processes ⋮ Ruin by dynamic contagion claims ⋮ Cramér-Lundberg approximation for nonlinearly perturbed risk processes ⋮ On A Surplus Process Under A Periodic Environment ⋮ On A Surplus Process Under A Periodic Environment ⋮ A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process ⋮ Simulating the ruin probability of risk processes with delay in claim settlement ⋮ Rare event simulation for a slotted time M/G/s model ⋮ Dynamic importance sampling for uniformly recurrent Markov chains ⋮ Finding the Conjugate of Markov Fluid Processes ⋮ Non-Poissonian claims' arrivals and calculation of the probability of ruin ⋮ On Monte Carlo estimation of large deviations probabilities ⋮ Risk theory in a Markovian environment ⋮ Rare-Event Simulation for Many-Server Queues ⋮ RPA pathwise derivative estimation of ruin probabilities ⋮ A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes ⋮ Rare events in queueing systems -- A survey
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