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Conjugate processes and the silumation of ruin problems · Study

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ArticleConjugate processes and the silumation of ruin problems

S⊘ren Asmussen1985

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Articlebronze1985

Conjugate processes and the silumation of ruin problems

S⊘ren Asmussen

71 citations·0/0 files stored·Stochastic Processes and their Applications

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

1993An introduction to queueing theory 1982Introduction to Queueing Theory 1977An Introduction to the Regenerative Method for Simulation Analysis 1979Corrected diffusion approximations in certain random walk problems 1976The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule 1974Simulating Stable Stochastic Systems, I: General Multiserver Queues 1984Approximations for the probability of ruin within finite time 1977A class of approximations of ruin probabilities

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2011State-dependent importance sampling for rare-event simulation: An overview and recent advances 1996On Monte Carlo estimation of large deviations probabilities 2012Ruin by dynamic contagion claims 2005Fast simulation of rare events in queueing and reliability models 1995Fast simulation of packet loss rates in a shared buffer communications switch 1992The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models

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Details

Year1985

Typearticle

Published1985-09-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations71

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0304-4149(85)90211-x

openalex_workW2147019279

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1995Finding the Conjugate of Markov Fluid Processes

2009Rare event simulation for a slotted time M/G/s model