Smoothed Monte Carlo estimators for the time-in-the-red in risk processes
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Publication:1762682
DOI10.1007/S001860300331zbMath1134.91484OpenAlexW2011371967MaRDI QIDQ1762682
G. Makatis, Michael A. Zazanis
Publication date: 11 February 2005
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860300331
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)
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