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20142022
most citedExact and efficient simulation of tail probabilities of heavy-tailed infinite series

1 citations · 1 across the 3 of their papers we have counts for

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q-fin.RM2022

Combining Retrospective Approximation with Importance Sampling for Optimising Conditional Value at Risk

Anand Deo, Karthyek Murthy, Tirtho Sarker

This paper investigates the use of retrospective approximation solution paradigm in solving risk-averse optimization problems effectively via importance sampling (IS). While IS ser…