Conjugate processes and the simulation of ruin problems
type: Item
instance of: scholarly article
title: Conjugate processes and the simulation of ruin problems
zbMATH Open document ID: 0574.60095
DOI: 10.1016/0304-4149(85)90211-X
published in: Stochastic Processes and their Applications
publication date: 1985-01-01T00:00:00Z
Mathematics Subject Classification ID: 60K30
Mathematics Subject Classification ID: 68U20
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 3917416
zbMATH Keywords: risk reserve process
zbMATH Keywords: heavy traffic
zbMATH Keywords: fundamental identity of sequential analysis
zbMATH Keywords: periodic queues
zbMATH Keywords: simulation estimates of boundary crossing probabilities
zbMATH Keywords: compound Poisson risk processes
author: Søren Asmussen
MaRDI profile type: Publication
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full work available at URL: 0304-4149(85)90211-x
OpenAlex ID: W2147019279
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description: scientific article; zbMATH DE number 3917416