Simulating level-crossing probabilities by importance sampling (Q4024521)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulating level-crossing probabilities by importance sampling |
scientific article |
Statements
Simulating level-crossing probabilities by importance sampling (English)
0 references
4 February 1993
0 references
large deviations
0 references
ruin risk probability
0 references
optimal simulation distribution
0 references
level-crossing probability
0 references
Monte Carlo simulation
0 references
importance sampling
0 references
