Sensitivity analysis for ruin probabilities: canonical risk model
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Publication:4658380
DOI10.1057/palgrave.jors.2601030zbMath1131.91356OpenAlexW1993277996MaRDI QIDQ4658380
Felisa J. Vázquez-Abad, P. Lequoc
Publication date: 16 March 2005
Published in: Journal of the Operational Research Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1057/palgrave.jors.2601030
sensitivity analysisimportance samplingriskestimation efficiencyrare event simulationruin probabilities
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Related Items (3)
Sensitivity analysis for rare events based on Rényi divergence ⋮ Gradient-based simulation optimization under probability constraints ⋮ RPA pathwise derivative estimation of ruin probabilities
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