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Additional Metadata
Keywords importance sampling, Large deviations, rare-event simulation, ruin probability
Persistent URL dx.doi.org/10.1017/S0269964816000553
Journal Probability in the Engineering and Informational Sciences
Project Two-dimensional models in queues and risk Module 1
Grant This work was funded by the The Netherlands Organisation for Scientific Research (NWO); grant id nwo/613.001.352 - Two-dimensional models in queues and risk Module 1
Citation
Cahen, E.J, Mandjes, M.R.H, & Zwart, A.P. (2017). Rare event analysis and efficient simulation for a multi-dimensional ruin problem. Probability in the Engineering and Informational Sciences, 1–19. doi:10.1017/S0269964816000553