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Search: subject:"nested simulation"
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Simulation
18
Estimation theory
11
Schätztheorie
11
Monte Carlo simulation
10
Monte-Carlo-Simulation
10
nested simulation
10
Nested simulation
6
Portfolio selection
5
Portfolio-Management
5
Risiko
5
Risk
5
Private Altersvorsorge
4
Private retirement provision
4
Sampling
4
Stichprobenerhebung
4
Theorie
4
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4
Bootstrap approach
3
Bootstrap-Verfahren
3
Option pricing theory
3
Optionspreistheorie
3
Risikomanagement
3
Risikomaß
3
Risk management
3
Risk measure
3
Conditional tail expectation
2
Estimation
2
Forecasting model
2
Hedging
2
Likelihood ratio method
2
Measurement
2
Messung
2
Mortality
2
Prognoseverfahren
2
Regression analysis
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English
18
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1
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Feng, Mingbin
3
Lin, X. Sheldon
3
Yang, Shuai
3
Zhang, Kun
3
Dang, Ou
2
Hardy, Mary Rosalyn
2
Li, Peng
2
Zhou, Kenneth Q.
2
Chen, Xi
1
Cheng, Hong-Fa
1
Dickmann, Fabian
1
Fang, Runhuan
1
Feng, Runhuan
1
Gan, Guojun
1
Giles, Michael B.
1
Gordy, Michael B.
1
Haji-Ali, Abdul-Lateef
1
Juneja, Sandeep
1
Lam, Henry
1
Li, Johnny Siu-Hang
1
Liang, Guo
1
Liu, Guangwu
1
Luo, Jun
1
Pires, Floriano
1
Qian, Huajie
1
Schweizer, Nikolaus
1
Shi, Wen
1
Wang, Shiyu
1
Wang, Wenjia
1
Wang, Yanyuan
1
Zhang, Xiaowei
1
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Insurance / Mathematics & economics
5
Operations research
2
The journal of computational finance
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
1
Management Science
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Maritime policy & management
1
Naval research logistics : an international journal
1
Operations research letters
1
Risks : open access journal
1
Scandinavian actuarial journal
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ECONIS (ZBW)
18
RePEc
1
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1
On risk management of mortality and longevity capital requirement : a predictive simulation approach
Yang, Shuai
;
Zhou, Kenneth Q.
- In:
Risks : open access journal
11
(
2023
)
12
,
pp. 1-18
specifically, we introduce a thin-plate regression spline method as a surrogate alternative to the standard
nested
simulation
…
Persistent link: https://www.econbiz.de/10014446489
Saved in:
2
Dynamic importance allocated
nested
simulation
for variable annuity risk measurement
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Annals of actuarial science : publ. by the Institute of …
16
(
2022
)
2
,
pp. 319-348
Persistent link: https://www.econbiz.de/10013342141
Saved in:
3
A FAST method for nested estimation
Liang, Guo
;
Zhang, Kun
;
Luo, Jun
- In:
INFORMS journal on computing : JOC ; charting new …
36
(
2024
)
6
,
pp. 1481-1500
Persistent link: https://www.econbiz.de/10015164594
Saved in:
4
Smooth
nested
simulation
: bridging cubic and square root convergence rates in high dimensions
Wang, Wenjia
;
Wang, Yanyuan
;
Zhang, Xiaowei
- In:
Management science : journal of the Institute for …
70
(
2024
)
12
,
pp. 9031-9057
Persistent link: https://www.econbiz.de/10015147769
Saved in:
5
Two-stage
nested
simulation
of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
6
Technical note: bootstrap-based budget allocation for
nested
simulation
Zhang, Kun
;
Liu, Guangwu
;
Wang, Shiyu
- In:
Operations research
70
(
2022
)
2
,
pp. 1128-1142
Persistent link: https://www.econbiz.de/10013365858
Saved in:
7
Subsampling to enhance efficiency in input uncertainty quantification
Lam, Henry
;
Qian, Huajie
- In:
Operations research
70
(
2022
)
3
,
pp. 1891-1913
Persistent link: https://www.econbiz.de/10013366289
Saved in:
8
Sample recycling method : a new approach to efficient nested Monte Carlo simulations
Fang, Runhuan
;
Li, Peng
- In:
Insurance / Mathematics & economics
105
(
2022
),
pp. 336-359
Persistent link: https://www.econbiz.de/10013349067
Saved in:
9
Green
nested
simulation
via likelihood ratio : applications to longevity risk management
Feng, Mingbin
;
Li, Johnny Siu-Hang
;
Zhou, Kenneth Q.
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 285-301
Persistent link: https://www.econbiz.de/10013380561
Saved in:
10
Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
Saved in:
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