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On asymptotically efficient simulation of ruin probabilities in a Markovian environment
3 references·0 citing·12 second hop
On asymptotically efficient simulation of ruin probabilities in a Markovian environment (1992)On asymptotically efficient simulation of…Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Large deviations theory and e…Risk theory in a Markovian environment (1989)Risk theory in a Markovian en…Entropy, a useful concept in risk theory (1986)Entropy, a useful concept in …On the theory of queues with many servers (1955)A quick simulation method for excessive backlogs in networks of queues (1989)Importance Sampling for Stochastic Simulations (1989)Quick simulation: a review of importance sampling techniques in communications systems (1997)Importance Sampling, Large Deviations, and Differential Games (2004)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)An introduction to mathematical risk theory (1979)Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform? (1984)Matrix-Geometric Solutions to Stochastic Models (1984)Applied Probability and Queues (1987)Structured Stochastic Matrices of M/G/1 Type and Their Applications. (1991)Strategies for Dividend Distribution: A Review (2009)
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References

  • 1989Risk theory in a Markovian environment227 cited
  • 1991Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue143 cited
  • 1986Entropy, a useful concept in risk theory33 cited

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