Lei Lei

Publication Activity (10 Years)

Years Active: 2018-2024
Publications (10 Years): 6

Top Topics

Quasi Invariant

Sensitivity Analysis

Monte Carlo Simulation

Top Venues

Discret. Event Dyn. Syst.

RAIRO Oper. Res.

Eur. J. Oper. Res.

Publications

Chenbo Zhu, Zeqiong Ren, Lei Lei, Xing Wang, Yue Xie
A note on algorithms for dual sourcing inventory systems with Tailored Base-Surge policies. RAIRO Oper. Res. 58 (3) (2024)
Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
Copula sensitivity analysis for portfolio credit derivatives. Eur. J. Oper. Res. 308 (1) (2023)
Lei Lei, Christos Alexopoulos, Yijie Peng, James R. Wilson
Estimating Confidence Regions for Distortion Risk Measures and Their Gradients. WSC (2022)
Lei Lei, Christos Alexopoulos, Yijie Peng, James R. Wilson
Confidence Intervals and Regions for Quantiles using Conditional Monte Carlo and Generalized Likelihood Ratios. WSC (2020)
Yijie Peng, Michael C. Fu, Jian-Qiang Hu, Lei Lei
Estimating Quantile Sensitivity for Financial Models with Correlations and Jumps. WSC (2019)
Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation. Discret. Event Dyn. Syst. 28 (1) (2018)