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New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk.

Zhi HuangPerwez Shahabuddin
Published in: WSC (2003)
Keyphrases
  • risk analysis
  • risk assessment
  • heavy tailed
  • risk management
  • rare events
  • risk factors
  • decision making
  • information security
  • importance sampling
  • network security
  • rough sets
  • fraud detection