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Search: subject:"Nested simulation"
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Simulation
16
Theorie
8
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8
nested simulation
8
Estimation theory
6
Nested simulation
6
Schätztheorie
6
Portfolio selection
5
Portfolio-Management
5
Monte Carlo simulation
4
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4
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4
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4
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4
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3
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3
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2
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2
Conditional tail expectation
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2
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2
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Mortality
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Option pricing theory
2
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variance reduction
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16
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Feng, Mingbin
3
Lin, X. Sheldon
3
Yang, Shuai
3
Dang, Ou
2
Hardy, Mary Rosalyn
2
Li, Peng
2
Zhang, Kun
2
Zhou, Kenneth Q.
2
Chen, Xi
1
Cheng, Hong-Fa
1
Dickmann, Fabian
1
Fang, Runhuan
1
Feng, Runhuan
1
Gan, Guojun
1
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1
Gordy, Michael B.
1
Haji-Ali, Abdul-Lateef
1
Juneja, Sandeep
1
Lam, Henry
1
Li, Johnny Siu-Hang
1
Liu, Guangwu
1
Pires, Floriano
1
Qian, Huajie
1
Schweizer, Nikolaus
1
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1
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Insurance / Mathematics & economics
5
Operations research
2
The journal of computational finance
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Management Science
1
Maritime policy & management
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ECONIS (ZBW)
16
RePEc
1
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1
On risk management of mortality and longevity capital requirement : a predictive simulation approach
Yang, Shuai
;
Zhou, Kenneth Q.
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-18
specifically, we introduce a thin-plate regression spline method as a surrogate alternative to the standard
nested
simulation
…
Persistent link: https://www.econbiz.de/10014446489
Saved in:
2
Dynamic importance allocated
nested
simulation
for variable annuity risk measurement
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 319-348
Persistent link: https://www.econbiz.de/10013342141
Saved in:
3
Two-stage
nested
simulation
of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
4
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
Saved in:
5
Technical note: bootstrap-based budget allocation for
nested
simulation
Zhang, Kun
;
Liu, Guangwu
;
Wang, Shiyu
- In:
Operations research
70
(
2022
)
2
,
pp. 1128-1142
Persistent link: https://www.econbiz.de/10013365858
Saved in:
6
Subsampling to enhance efficiency in input uncertainty quantification
Lam, Henry
;
Qian, Huajie
- In:
Operations research
70
(
2022
)
3
,
pp. 1891-1913
Persistent link: https://www.econbiz.de/10013366289
Saved in:
7
Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan
;
Li, Peng
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
Saved in:
8
Green
nested
simulation
via likelihood ratio : applications to longevity risk management
Feng, Mingbin
;
Li, Johnny Siu-Hang
;
Zhou, Kenneth Q.
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 285-301
Persistent link: https://www.econbiz.de/10013380561
Saved in:
9
Nested Monte Carlo simulation in financial reporting : a review and a new hybrid approach
Li, Peng
;
Feng, Runhuan
- In:
Scandinavian actuarial journal
2021
(
2021
)
9
,
pp. 744-778
Persistent link: https://www.econbiz.de/10012653687
Saved in:
10
Non-nested estimators for the central moments of a conditional expectation and their convergence properties
Cheng, Hong-Fa
;
Zhang, Kun
- In:
Operations research letters
49
(
2021
)
5
,
pp. 625-632
Persistent link: https://www.econbiz.de/10013207415
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