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A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Scott, Alexandre
;
Metzler, Adam
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 279-293
Persistent link: https://www.econbiz.de/10011398073
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2
A risk model with renewal shot-noise Cox process
Dassios, Angelos
;
Jang, Jiwook
;
Zhao, Hongbiao
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 55-65
Persistent link: https://www.econbiz.de/10011422868
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3
Efficient randomized quasi-Monte Carlo methods for portfolio market risk
Sak, Halis
;
Başoğlu, İsmail
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 87-94
Persistent link: https://www.econbiz.de/10011774777
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4
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
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