Ruin probabilities via local adjustment coefficients
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Publication:4858680
DOI10.2307/3215126zbMath0834.60099OpenAlexW4246386911MaRDI QIDQ4858680
Hanne Mandrup Nielsen, Soren Asmussen
Publication date: 1 February 1996
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215126
rare eventslarge deviationsmartingalestorage processfast simulationLundberg inequalityslow Markov walk
Monte Carlo methods (65C05) Large deviations (60F10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
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