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