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Uniformly efficient importance sampling for the tail distribution of sums of random variables

Glasserman, Paul; Juneja, Sandeep - In: Mathematics of operations research 33 (2008) 1, pp. 36-50

Persistent link: https://www.econbiz.de/10003687581

Persistence and procyclicality in margin requirements

Glasserman, Paul; Wu, Qi - In: Management science : journal of the Institute for … 64 (2018) 12, pp. 5705-5724

Persistent link: https://www.econbiz.de/10011964578

Maximum entropy distributions with applications to graph simulation

Glasserman, Paul; Larrea, Enrique Lelo de - In: Operations research 71 (2023) 5, pp. 1908-1924

Persistent link: https://www.econbiz.de/10014393288

Simulating Tail Probabilities in GI/GI.1 Queues and Insurance Risk Processes with Subexponentail Distributions

Boots, Nam Kyoo; Shahabuddin, Perwez - 2001

This paper deals with estimating small tail probabilities of thesteady-state waiting time in a GI/GI/1 queue withheavy-tailed (subexponential) service times. The problem ofestimating infinite horizon ruin probabilities in insurancerisk processes with heavy-tailed claims can be transformed into...

Persistent link: https://www.econbiz.de/10010324803

Simulating tail probabilities in GI/GI.1 queues and insurance risk processes with subexponentail distributions

Boots, Nam Kyoo; Shahabuddin, Perwez - 2001

Persistent link: https://www.econbiz.de/10011313925

Simulating tail probabilities in GI/GI/1 queues and insurance risk processes with subexponential distributions

Boots, Nam Kyoo; Shahabuddin, Perwez - 2000

Persistent link: https://www.econbiz.de/10001554458