We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Efficient simulation of finite horizon problems in queueing and insurance risk.
- Authors
Leonardo Rojas-Nandayapa; Søren Asmussen
- Abstract
Let ψ(u,t) be the probability that the workload in an initially empty M/G/1 queue exceeds u at time tψ(u,t) are suggested. A key idea behind the estimators is conditional Monte Carlo. Variance estimates are derived in the regularly varying case, the efficiencies are compared numerically and also the estimators are shown to have bounded relative error in some main cases. In part, also extensions to general L�vy processes are treated.
- Subjects
QUEUEING networks; LEVY processes; MONTE Carlo method; SIMULATION methods &; models; RISK (Insurance)
- Publication
Queueing Systems, 2007, Vol 57, Issue 2/3, p85
- ISSN
0257-0130
- Publication type
Article
- DOI
10.1007/s11134-007-9050-9