Matches in SemOpenAlex for { <https://semopenalex.org/work/W4239525579> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W4239525579 endingPage "322" @default.
- W4239525579 startingPage "301" @default.
- W4239525579 abstract "We consider the problem of efficient estimation via simulation of first passage time probabilities for a multidimensional random walk with heavy-tailed increments. In addition to being a natural generalization to the problem of computing ruin probabilities in insurance - in which the focus is the maximum of a one-dimensional random walk with negative drift - this problem captures important features of large deviations for multidimensional heavy-tailed processes (such as the role played by the mean of the process in connection to the location of the target set). We develop a state-dependent importance sampling estimator for this class of multidimensional problems. Then, using techniques based on Lyapunov inequalities, we argue that our estimator is strongly efficient in the sense that the relative mean squared error of our estimator can be made arbitrarily small by increasing the number of replications, uniformly as the probability of interest approaches 0." @default.
- W4239525579 created "2022-05-12" @default.
- W4239525579 creator A5011147039 @default.
- W4239525579 creator A5015142209 @default.
- W4239525579 date "2010-06-01" @default.
- W4239525579 modified "2023-10-18" @default.
- W4239525579 title "Efficient importance sampling in ruin problems for multidimensional regularly varying random walks" @default.
- W4239525579 cites W1773976433 @default.
- W4239525579 cites W1985912219 @default.
- W4239525579 cites W2024309638 @default.
- W4239525579 cites W2044829335 @default.
- W4239525579 cites W2080328084 @default.
- W4239525579 cites W2087018957 @default.
- W4239525579 cites W2105632796 @default.
- W4239525579 cites W2130185378 @default.
- W4239525579 cites W3098954966 @default.
- W4239525579 doi "https://doi.org/10.1017/s0021900200006653" @default.
- W4239525579 hasPublicationYear "2010" @default.
- W4239525579 type Work @default.
- W4239525579 citedByCount "2" @default.
- W4239525579 countsByYear W42395255792012 @default.
- W4239525579 crossrefType "journal-article" @default.
- W4239525579 hasAuthorship W4239525579A5011147039 @default.
- W4239525579 hasAuthorship W4239525579A5015142209 @default.
- W4239525579 hasBestOaLocation W42395255791 @default.
- W4239525579 hasConcept C105795698 @default.
- W4239525579 hasConcept C106131492 @default.
- W4239525579 hasConcept C121194460 @default.
- W4239525579 hasConcept C134306372 @default.
- W4239525579 hasConcept C140779682 @default.
- W4239525579 hasConcept C144024400 @default.
- W4239525579 hasConcept C149923435 @default.
- W4239525579 hasConcept C177148314 @default.
- W4239525579 hasConcept C185429906 @default.
- W4239525579 hasConcept C186659197 @default.
- W4239525579 hasConcept C20353970 @default.
- W4239525579 hasConcept C28826006 @default.
- W4239525579 hasConcept C2908647359 @default.
- W4239525579 hasConcept C31972630 @default.
- W4239525579 hasConcept C33923547 @default.
- W4239525579 hasConcept C41008148 @default.
- W4239525579 hasConceptScore W4239525579C105795698 @default.
- W4239525579 hasConceptScore W4239525579C106131492 @default.
- W4239525579 hasConceptScore W4239525579C121194460 @default.
- W4239525579 hasConceptScore W4239525579C134306372 @default.
- W4239525579 hasConceptScore W4239525579C140779682 @default.
- W4239525579 hasConceptScore W4239525579C144024400 @default.
- W4239525579 hasConceptScore W4239525579C149923435 @default.
- W4239525579 hasConceptScore W4239525579C177148314 @default.
- W4239525579 hasConceptScore W4239525579C185429906 @default.
- W4239525579 hasConceptScore W4239525579C186659197 @default.
- W4239525579 hasConceptScore W4239525579C20353970 @default.
- W4239525579 hasConceptScore W4239525579C28826006 @default.
- W4239525579 hasConceptScore W4239525579C2908647359 @default.
- W4239525579 hasConceptScore W4239525579C31972630 @default.
- W4239525579 hasConceptScore W4239525579C33923547 @default.
- W4239525579 hasConceptScore W4239525579C41008148 @default.
- W4239525579 hasIssue "02" @default.
- W4239525579 hasLocation W42395255791 @default.
- W4239525579 hasOpenAccess W4239525579 @default.
- W4239525579 hasPrimaryLocation W42395255791 @default.
- W4239525579 hasRelatedWork W12058999 @default.
- W4239525579 hasRelatedWork W18925533 @default.
- W4239525579 hasRelatedWork W26145401 @default.
- W4239525579 hasRelatedWork W29981111 @default.
- W4239525579 hasRelatedWork W3435925 @default.
- W4239525579 hasRelatedWork W38072090 @default.
- W4239525579 hasRelatedWork W39169699 @default.
- W4239525579 hasRelatedWork W46254188 @default.
- W4239525579 hasRelatedWork W54997318 @default.
- W4239525579 hasRelatedWork W62987955 @default.
- W4239525579 hasVolume "47" @default.
- W4239525579 isParatext "false" @default.
- W4239525579 isRetracted "false" @default.
- W4239525579 workType "article" @default.