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A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling.
Ayalvadi J. Ganesh
Claudio Macci
Giovanni Luca Torrisi
Published in:
Queueing Syst. Theory Appl. (2007)
Keyphrases
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large deviations
importance sampling
monte carlo
markov chain
kalman filter
particle filter
rare events
particle filtering
approximate inference
machine learning
posterior distribution
markov chain monte carlo
heavy tailed
asymptotically optimal