Perwez Shahabuddin

Decision Sciences · Social Sciences

30h-index4.1kcitations73works0.02yr avg
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Research Topics

Probability and Risk Models(45), Advanced Queuing Theory Analysis(21), Financial Risk and Volatility Modeling(15), Simulation Techniques and Applications(15), Insurance, Mortality, Demography, Risk Management(14)

Publications73 total

EXPLOITING REGENERATIVE STRUCTURE TO ESTIMATE FINITE TIME AVERAGES VIA SIMULATION: SUPPLEMENTARY MATERIAL
KAIST Institutional Repository (KAIST)·2011Open Access
Fast Simulation of Multifactor Portfolio Credit Risk
Operations Research·2008· 77 cited
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
Mathematical Finance·2007· 72 citedOpen Access
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
ACM Transactions on Modeling and Computer Simulation·2007· 25 cited
Exploiting regenerative structure to estimate finite time averages via simulation
ACM Transactions on Modeling and Computer Simulation·2007· 4 cited
Fast simulation for multifactor portfolio credit risk in the t-copula model
Proceedings of the Winter Simulation Conference, 2005.·2006· 11 cited
Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances
Handbooks in operations research and management science·2006· 179 cited
Session details: Risk analysis: simulation methodology for credit risk models
Winter Simulation Conference·2005
Efficient Estimation of the Mean Time Between Failures in Non-Regenerative Dependability Models
Proceedings of 1993 Winter Simulation Conference - (WSC '93)·2005· 3 cited
Rare event simulation in stochastic models
Winter Simulation Conference Proceedings, 1995.·2005· 15 cited
Quick simulation methods for estimating the unreliability of regenerative models of large, highly reliable systems
Quality Engineering·2005
A unified approach for finite-dimensional, rare-event Monte Carlo simulation
Winter Simulation Conference·2004· 6 cited
Session details: Risk analysis: new simulation methodology for financial engineering
Winter Simulation Conference·2004
QUICK SIMULATION METHODS FOR ESTIMATING THE UNRELIABILITY OF REGENERATIVE MODELS OF LARGE, HIGHLY RELIABLE SYSTEMS
Probability in the Engineering and Informational Sciences·2004· 14 cited
Rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk
2004· 9 cited
On finite exponential moments for branching processes and busy periods for queues
Journal of Applied Probability·2004· 4 cited
On finite exponential moments for branching processes and busy periods for queues
Journal of Applied Probability·2004· 19 cited
New simulation methodology for risk analysis: rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk
Winter Simulation Conference·2003· 6 cited
An approach to predictive detection for service management
2003· 71 cited
Uniformization and exponential transformation: Techniques for fast simulation of highly dependable non-Markovian systems
2003· 31 cited
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Frequent Co-authors

Philip Heidelberger(20), Paul Glasserman(12), V.F. Nicola(5), Peter W. Glynn(5), Marvin K. Nakayama(5), Tim Zajic(4), S. Juneja(4), Sandeep Juneja(4), Victor F. Nicola(4), Dinkar Sitaram(3), Joseph L. Hellerstein(3), Wanmo Kang(3), A. Dan(2), Cheng‐Shang Chang(2), Ambuj Goyal(2), Asit Dan(1), A. Goyal(1), Don Towsley(1), Fan Zhang(1), Fan Zhang(1)