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  • Search: subject:"Pollaczek-Khinchin formula"
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Year of publication
Subject
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M/G/1 queue 2 Pollaczek-Khinchin formula 2 Actuarial mathematics 1 Bounded relative error 1 Complexity 1 Conditional Monte Carlo conditioning 1 Control variate 1 Distributions 1 Monte Carlo Simulation 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Numerical Integration 1 Pollaczek-Khinchin Formula 1 Probability of Ultimate Ruin 1 Probability theory 1 Queue size 1 Rare event 1 Regular variation 1 Risikomodell 1 Risk model 1 Second optional service 1 Simulation 1 Statistical distribution 1 Statistische Verteilung 1 Stratification 1 Subexponential distribution 1 Theorie 1 Theory 1 Times 1 Versicherungsmathematik 1 Wahrscheinlichkeitsrechnung 1 Weibull distribution 1 logarithmic efficiency 1 waiting time 1
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Undetermined 2 Free 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 2 English 1
Author
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Asmussen, Søren 1 C. C. Heyde 1 Choudhury, Gautam 1 Das, Jagriti 1 Kroese, Dirk P. 1 Nath, Dilip C. 1
Published in...
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Journal of mathematical finance 1 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 1
Source
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BASE 1 ECONIS (ZBW) 1 RePEc 1
Showing 1 - 3 of 3
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Modeling of insurance data through two heavy tailed distributions : computations of some of their actuarial quantities through simulation from their equilibrium distributions and the use of their convolutions
Nath, Dilip C.; Das, Jagriti - In: Journal of mathematical finance 6 (2016) 3, pp. 378-400
Persistent link: https://www.econbiz.de/10011583507
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Improved algorithms for rare event simulation with heavy tails
Asmussen, Søren; Kroese, Dirk P. - 2006
The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...
Persistent link: https://www.econbiz.de/10009448797
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Some aspects of anM/G/1 queueing system with optional second service
Choudhury, Gautam - In: TOP: An Official Journal of the Spanish Society of … 11 (2003) 1, pp. 141-150
Persistent link: https://www.econbiz.de/10005371415
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