Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability

DOI10.1080/00949655.2015.1057822OpenAlexW1925059330MaRDI QIDQ5222403FDOQ5222403

Authors Xianfeng Jiang, Li Li

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1057822

zbMATH Keywords

bankruptcy probabilitynaive methodsimulation convergence

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Conjugate processes and the simulation of ruin problems
• Simulation of ruin probabilities
• scientific article; zbMATH DE number 7302736
• Stochastic successive approximation method for assessing the insolvency risk of an insurance company
• Simulating level-crossing probabilities by importance sampling

Cites work

• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Comparison of methodologies to assess the convergence of Markov chain Monte Carlo methods
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
• Efficient Monte Carlo simulation via the generalized splitting method
• How Bayesian analysis cracked the red-state, blue-state problem
• Inference from iterative simulation using multiple sequences
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Stochastic Limit Theory

This page was built for publication: Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222403)