Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
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Publication:1872411
DOI10.1214/aoap/1015961169zbMath1021.65003OpenAlexW2024309638MaRDI QIDQ1872411
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1015961169
importance samplingMonte Carlo methodslarge deviationshitting probabilitiesrare event simulationmultidimensional ruin problem
Sampling theory, sample surveys (62D05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Large deviations (60F10)
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