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"New simulation methodology for risk analysis: rare-event, heavy-tailed ..."

Zhi Huang, Perwez Shahabuddin (2003)

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DOI: 10.1109/WSC.2003.1261434

access: closed

type: Conference or Workshop Paper

metadata version: 2023-03-24

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  - https://dblp.org/rec/conf/wsc/HuangS03
Zhi Huang, Perwez Shahabuddin:
New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk. WSC 2003: 276-284

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