Efficient simulation of tail probabilities of sums of correlated lognormals
Søren Asmussen; José Blanchet; Sandeep Juneja; Leonardo Rojas-Nandayapa
| Year of publication: |
2011
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|---|---|
| Authors: | Asmussen, Søren ; Blanchet, José ; Juneja, Sandeep ; Rojas-Nandayapa, Leonardo |
| Published in: |
Annals of operations research. - Dordrecht, The Netherlands : Springer Nature B.V., ISSN 0254-5330, ZDB-ID 252629-3. - Vol. 189.2011, p. 5-23
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| Subject: | Simulation | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Korrelation | Correlation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009305818