Monte Carlo simulation of the renewal function

DOI10.2307/3213288zbMath0459.60076OpenAlexW2332871474MaRDI QIDQ3909790

Herbert Solomon, Mark Brown, 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

renewal theoryvariance reductioncumulative processes

Mathematics Subject Classification ID

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

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

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