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Risk Quantification in Stochastic Simulation under Input Uncertainty
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002The Sample Average Approximation Method for Stochastic Discrete Optimization1,989 cited
  • 2009Stochastic Kriging for Simulation Metamodeling636 cited
  • 2008Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization389 cited
  • 2000Variance Reduction Techniques for Estimating Value-at-Risk217 cited
  • 2015Pricing in Ride-Share Platforms: A Queueing-Theoretic Approach210 cited
  • 2010Nested Simulation in Portfolio Risk Measurement180 cited
  • 2001Input Distribution Selection for Simulation Experiments: Accounting for Input Uncertainty174 cited
  • 1997Sensitivity of computer simulation experiments to errors in input data143 cited
  • 2003Accounting for Parameter Uncertainty in Simulation Input Modeling115 cited
  • 2013Quantifying Input Uncertainty via Simulation Confidence Intervals112 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2014A Bayesian Framework for Quantifying Uncertainty in Stochastic Simulation102 cited
  • 2004Accounting for input-model and input-parameter uncertainties in simulation

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97 cited
  • 2014Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk91 cited
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