Some applications and methods of large deviations in finance and insurance

Lecture Notes in Mathematics

Volumn 1919, Issue , 2007, Pages 191-244

  Pham, Huyên ^a  

^a INSTITUT UNIVERSITAIRE DE FRANCE   (France)

Author keywords

Credit risk; Exit probability; Importance sampling; Large deviations; Portfolio performance; Rare event simulation; Ruin problem

Indexed keywords

EID: 34547875387     PISSN: 00758434     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-73327-0_5     Document Type: Article

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