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Rare-event probability estimation with conditional Monte Carlo
Chan, Joshua C. C.; Kroese, Dirk P. - 2011
Persistent link: https://www.econbiz.de/10009305739
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Monte Carlo methods for portfolio credit risk
Brereton, Tim J.; Kroese, Dirk P.; Chan, Joshua C. - 2012
Persistent link: https://www.econbiz.de/10009565906
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Splitting for optimization
Duan, Qibin; Kroese, Dirk P. - In: Computers & operations research : and their … 73 (2016), pp. 119-131
Persistent link: https://www.econbiz.de/10011502639
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Monte Carlo methods for simulation, optimization, and counting (in honor of Reuven Rubinstein's 70th birthday)
Kroese, Dirk P. (contributor);  … - 2011
Persistent link: https://www.econbiz.de/10009626242
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Efficient estimation of large portfolio loss probabilities in t-copula models
Chan, Joshua C. C.; Kroese, Dirk P. - In: European journal of operational research : EJOR 205 (2010) 2, pp. 361-367
Persistent link: https://www.econbiz.de/10003961239