Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

Details

Ressource 1Download: Control_variate_techniquesR.pdf (1470.33 [Ko])
State: Public
Version: author
License: Not specified
Serval ID
serval:BIB_9F421B24061F
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Journal
Methodology and Computing in Applied Probability
Author(s)
Albrecher H., Bladt M., Vatamidou E.
ISSN
1387-5841
Publication state
In Press
Peer-reviewed
Oui
Language
english
Create date
24/05/2020 17:28
Last modification date
25/05/2020 6:09
Usage data