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Search: subject:"simulation of ruin probability"
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Fractional Brownian motion
2
Monte Carlo method
2
Pickands constant
2
first passage time
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simulation of ruin probability
2
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Undetermined
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Michna, Zbigniew
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Computational Statistics
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Mathematical Methods of Operations Research
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On tail probabilities and first passage times for fractional Brownian motion
Michna, Zbigniew
- In:
Computational Statistics
49
(
1999
)
2
,
pp. 335-354
In the paper we present a method of
simulation
of
ruin
probability
over infinite horizon for fractional Brownian motion …
Persistent link: https://www.econbiz.de/10010759583
Saved in:
2
On tail probabilities and first passage times for fractional Brownian motion
Michna, Zbigniew
- In:
Mathematical Methods of Operations Research
49
(
1999
)
2
,
pp. 335-354
In the paper we present a method of
simulation
of
ruin
probability
over infinite horizon for fractional Brownian motion …
Persistent link: https://www.econbiz.de/10010999997
Saved in:
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