Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Runhuan Feng, Peng Li
| 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
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| Subject: | Nested simulation | Risk estimation | Change of measure | Density-ratio estimation | Sample recycling method | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Kreislaufwirtschaft | Recycling | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Schätzung | Estimation | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.04.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349067