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The stationary distribution and recurrence classification of a storage process with general release rule
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This article is published in Advances in Applied Probability.The article was published on 1978-06-01. It has received 1 citations till now. The article focuses on the topics: Stationary distribution.read more
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Conjugate distributions and variance reduction in ruin probability simulation
TL;DR: In this article, a general method is developed for giving simulation estimates of the probability ψ(u, T) of ruin before time T. This method is used to overcome the difficulties connected with the case T = ∞, and also to obtain a considerable variance reduction.
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Journal ArticleDOI
Conjugate distributions and variance reduction in ruin probability simulation
TL;DR: In this article, a general method is developed for giving simulation estimates of the probability ψ(u, T) of ruin before time T. This method is used to overcome the difficulties connected with the case T = ∞, and also to obtain a considerable variance reduction.