Zhi Huang, Perwez Shahabuddin. New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk. In Stephen E. Chick, Paul J. Sanchez, David M. Ferrin, Douglas J. Morrice, editors, Proceedings of the 35th Winter Simulation Conference: Driving Innovation, New Orleans, Louisiana, USA, December 7-10, 2003. pages 276-284, ACM, 2003. [doi]
@inproceedings{HuangS03:5,
title = {New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk},
author = {Zhi Huang and Perwez Shahabuddin},
year = {2003},
doi = {10.1145/1030818.1030858},
url = {http://doi.acm.org/10.1145/1030818.1030858},
tags = {analysis, transformation},
researchr = {https://researchr.org/publication/HuangS03%3A5},
cites = {0},
citedby = {0},
pages = {276-284},
booktitle = {Proceedings of the 35th Winter Simulation Conference: Driving Innovation, New Orleans, Louisiana, USA, December 7-10, 2003},
editor = {Stephen E. Chick and Paul J. Sanchez and David M. Ferrin and Douglas J. Morrice},
publisher = {ACM},
isbn = {0-7803-8132-7},
}