Rare event analysis and efficient simulation for a multi-dimensional ruin problem

2017-07-01

Additional Metadata
Keywords	Importance sampling, Large deviations, Rare-event simulation, Ruin probability
Persistent URL	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
Organisation	Centrum Wiskunde & Informatica, Amsterdam (CWI), The Netherlands
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Cahen, E., Mandjes, M., & Zwart, B. (2017). Rare event analysis and efficient simulation for a multi-dimensional ruin problem. Probability in the Engineering and Informational Sciences, 31(3), 265–283. doi:10.1017/S0269964816000553

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