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A general method to estimate c...
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11
Sampling from linear multivariate densities
Hörmann, Wolfgang
;
Leydold, Josef
- In:
Advancing the frontiers of simulation : a Festschrift …
,
(pp. 143-151)
.
2009
Persistent link: https://www.econbiz.de/10003918943
Saved in:
12
Economic models based on Pareto and Gamma random variables
Nadarajah, Saralees
- In:
Spanish economic review : SER
9
(
2007
)
4
,
pp. 309-317
Persistent link: https://www.econbiz.de/10003592538
Saved in:
13
Distributional shapes and validity transport : a comparison of lower bounds
Kisamore, Jennifer L.
- In:
International journal of selection and assessment
16
(
2008
)
1
,
pp. 27-29
Persistent link: https://www.econbiz.de/10003683715
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14
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
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15
Inverse Gaussian random variables with application to price indices
Nadarajah, Saralees
;
Kotz, Samuel
- In:
Applied economics letters
14
(
2007
)
7/9
,
pp. 673-677
Persistent link: https://www.econbiz.de/10003512306
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16
Comparison of conditional distributions in portfolios of dependent risks
Sordo, Miguel A.
;
Suárez-Llorens, Alfonso
;
Bello, …
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 62-69
Persistent link: https://www.econbiz.de/10010515927
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17
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
Hannah, Lincoln
;
Puza, Borek
- In:
The journal of operational risk
10
(
2015
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011298869
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18
Generating tempered stable random variates from mixture representation
Jelonek, Piotr
-
2012
Persistent link: https://www.econbiz.de/10009620536
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19
On the distribution of sums of random variables with copula-induced dependence
Gijbels, Irène
;
Herrmann, Klaus
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 27-44
Persistent link: https://www.econbiz.de/10010469189
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20
Bounds and approximations for sums of dependent log-elliptical random variables
Valdez, Emiliano
;
Dhaene, Jan
;
Maj, Mateusz
;
Vanduffel, …
- In:
Insurance / Mathematics & economics
44
(
2009
)
3
,
pp. 385-397
Persistent link: https://www.econbiz.de/10009517625
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