@misc{Rolski_Tomasz_Metody_2006,
 author={Rolski, Tomasz},
 year={2006},
 rights={Wszystkie prawa zastrzeżone (Copyright)},
 description={Prace Naukowe Akademii Ekonomicznej we Wrocławiu; 2006; nr 1108, s. 55-65},
 publisher={Wydawnictwo Akademii Ekonomicznej im. Oskara Langego we Wrocławiu},
 language={pol},
 abstract={The theory of rare events allows for computing probabilities of events which are very small. One considers a family \{A(u),u > 0\} such that limu→∞ P(A(u)) = 0 , and looks for ղ(u) such that P(A(u)) = Eղ(u), fulfilling the following optimality property limsupu→∞ Var(ղ(u))/(Eղ(u))2 < ∞. Such an estimator can be deviced by the method of importance sampling (IS) or conditioning. To illustrate we show two examples requiring two approaches: (a) simulations of solvency probability for a portfolio of life insurances and (b) simulation of ruin probabilities.},
 type={artykuł},
 title={Metody MC zdarzeń rzadkich i ich zastosowanie w teorii ubezpieczeń},
}