Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Year of publication: |
2022
|
---|---|
Authors: | Fang, Runhuan ; Li, Peng |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 105.2022, p. 336-359
|
Subject: | Nested simulation | Risk estimation | Change of measure | Density-ratio estimation | Sample recycling method | Kreislaufwirtschaft | Recycling | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Messung | Measurement |
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