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Search: subject:"nested simulation"
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Simulation
16
Theorie
8
Theory
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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4
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3
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3
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3
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3
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3
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3
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3
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3
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3
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2
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Conditional tail expectation
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Derivat
2
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2
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Mortality
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Option pricing theory
2
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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
Giles, Michael B.
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
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Insurance / Mathematics & economics
5
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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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Naval research logistics : an international journal
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Operations research letters
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ECONIS (ZBW)
16
RePEc
1
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11
Fast and efficient
nested
simulation
for large variable annuity portfolios : a surrogate modeling approach
Lin, X. Sheldon
;
Yang, Shuai
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 85-103
Persistent link: https://www.econbiz.de/10012241991
Saved in:
12
Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
Lin, X. Sheldon
;
Yang, Shuai
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 913-957
Persistent link: https://www.econbiz.de/10012307390
Saved in:
13
Effect of risk preference on the valuation of time charter contracts with extension options
Pires, Floriano
- In:
Maritime policy & management
46
(
2019
)
7
,
pp. 831-844
Persistent link: https://www.econbiz.de/10012210173
Saved in:
14
Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation
Shi, Wen
;
Chen, Xi
- In:
Naval research logistics : an international journal
65
(
2018
)
3
,
pp. 218-241
Persistent link: https://www.econbiz.de/10012166187
Saved in:
15
Faster comparison of stopping times by nested conditional Monte Carlo
Dickmann, Fabian
;
Schweizer, Nikolaus
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 101-123
Persistent link: https://www.econbiz.de/10011656716
Saved in:
16
Valuation of large variable annuity portfolios under
nested
simulation
: a functional data approach
Gan, Guojun
;
Lin, X. Sheldon
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 138-150
Persistent link: https://www.econbiz.de/10011312079
Saved in:
17
Nested
Simulation
in Portfolio Risk Measurement
Gordy, Michael B.
;
Juneja, Sandeep
- In:
Management Science
56
(
2010
)
10
,
pp. 1833-1848
Risk measurement for derivative portfolios almost invariably calls for
nested
simulation
. In the outer step, one draws …
Persistent link: https://www.econbiz.de/10009208440
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