Concepedia

Efficient simulation of tail probabilities of sums of correlated lognormals

Søren Asmussen, José Blanchet, Sandeep Juneja, Leonardo Rojas‐Nandayapa

Annals of Operations Research · 2009 · 54 citations · 26 references

DOI

Concepts

References

26

An introduction to probability theory and its applications

Journal of the Franklin Institute · 1958 · 30K citations

, , +11

Continuous Univariate Distributions.

Yasuhiro Omori, Norman L. Johnson, S. Kotz et al. · Journal of the American Statistical Association · 1995 · 9.3K citations

, , +12

Multivariate Models and Dependence Concepts.

Trevor J. Ringrose, Harry Joe · Biometrics · 1998 · 3.5K citations

, , +12

Applied Probability and Queues.

Upendra Dave, Søren Asmussen · Journal of the Operational Research Society · 1987 · 2.8K citations

, , +11

Quantitative Risk Management: Concepts, Techniques, and Tools

Christine M. Anderson‐Cook · Journal of the American Statistical Association · 2006 · 2K citations

, , +12