Result 1 to 20 of 47 total
Fast simulation of multifactor portfolio credit risk (English)
Operations Research 56, No. 5, 1200-1217 (2008).
1
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables. (English)
ACM Trans. Model. Comput. Simul. 17, No. 2 (2007).
2
Exploiting regenerative structure to estimate finite time averages via simulation. (English)
ACM Trans. Model. Comput. Simul. 17, No. 2 (2007).
3
Varaince reduction in mean time to failure simulations (1988) (English)
Winter Simulation Conference, 6 (2007).
4
Fast simulation for multifactor portfolio credit risk in the $t$-copula model (English)
Winter Simulation Conference, 1859-1868 (2005).
5
Quick simulation methods for estimating the unreliability of regenerative models of large, highly reliable systems. (English)
Probab. Eng. Inf. Sci. 18, No. 3, 339-368 (2004).
6
On finite exponential moments for branching processes and busy periods for queues. (English)
J. Appl. Probab. 41A, Spec. Iss., 273-280 (2004).
7
A unified approach for finite-dimensional, rare-event Monte Carlo simulation (English)
Winter Simulation Conference, 1616- (2004).
8
New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk (English)
Winter Simulation Conference, 276-284 (2003).
9
Simulating heavy tailed processes using delayed hazard rate twisting. (English)
ACM Trans. Model. Comput. Simul. 12, No. 2, 94-118 (2002).
10
Fast simulation of Markov chains with small transition probabilities. (English)
Manage. Sci. 47, No. 4, 547-562 (2001).
11
Simulating tail probabilities in GI/GI/1 queues and insurance risk processes with subexponential distributions (extended abstract). (English)
SIGMETRICS Perform. Eval. Rev. 29, No. 3, 38-39 (2001).
12
Statistical tools for simulation design and analysis: simulating ruin probabilities in insurance risk processes with subexponential claims (English)
Winter Simulation Conference, 468-476 (2001).
13
Simulating GI/GI/1 queues and insurance risk processes with subexponential distributions (English)
Winter Simulation Conference, 656-665 (2000).
14
Variance reduction techniques for value-at-risk with heavy-tailed risk factors (English)
Winter Simulation Conference, 604-609 (2000).
15
Simulating heavy tailed processes using delayed hazard rate twisting (extended abstract). (English)
SIGMETRICS Perform. Eval. Rev. 27, No. 3, 20-22 (1999).
16
Multilevel splitting for estimating rare event probabilities. (English)
Oper. Res. 47, No.4, 585-600 (1999).
17
An approach to predictive detection for service management (English)
Integrated Network Management, 309-322 (1999).
18
Simulating heavy tailed processes using delayed hazard rate twisting (English)
Winter Simulation Conference, 420-427 (1999).
19
Stratification issues in estimating value-at-risk (English)
Winter Simulation Conference, 351-358 (1999).
20
Result 1 to 20 of 47 total
Start
Contact
Print
General Help
