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Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
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Generalized gap acceptance models for unsignalized intersections
Abhishek; Boon, Marko A. A.; Mandjes, Michel - In: Mathematical methods of operations research 89 (2019) 3, pp. 385-409
Persistent link: https://www.econbiz.de/10012035491
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Asymptotics of the area under the graph of a Lévy-driven workload process
Blanchet, J.; Mandjes, Michel - In: Operations research letters 41 (2013) 6, pp. 730-736
Persistent link: https://www.econbiz.de/10010236009
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A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
Iseger, Peter den; Gruntjes, Paul; Mandjes, Michel - In: Mathematical methods of operations research 78 (2013) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10009774853
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A note on the delay distribution in GPS
Lieshout, P.; Mandjes, Michel - In: Operations research letters 36 (2008) 1, pp. 117-122
Persistent link: https://www.econbiz.de/10003768581
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Tail Distribution of the Maximum of Correlated Gaussian Random Variables
Botev, Zdravko - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10013010233
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Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.; Mandjes, Michel - In: The journal of computational finance 20 (2016) 2, pp. 67-100
Persistent link: https://www.econbiz.de/10011656711
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A stochastic model of group wealth responses to insurancemechanisms in low-income communities
Henshaw, Kira; Mandjes, Michel; Constantinescu, Corina - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 301-328
Persistent link: https://www.econbiz.de/10014520538