Two-stage nested simulation of tail risk measurement: a likelihood ratio approach (Q2681447): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.10.002 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W4308099014 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo Estimation under Different Distributions Using the Same Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Risk Estimation via Nested Sequential Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Estimation via Regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized multiple importance sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Green Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Simulation Designs for Valuation of Large Variable Annuity Portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sample recycling method -- a new approach to efficient nested Monte Carlo simulations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of large variable annuity portfolios under nested simulation: a functional data approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust risk measurement and model risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nested Simulation in Portfolio Risk Measurement / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Regime-Switching Model of Long-Term Stock Returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5480304 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimization and sensitivity analysis of computer simulation models by the score function method / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Confidence Interval Procedure for Expected Shortfall Risk Measurement via Two-Level Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing the distribution function of a conditional expectation via monte carlo / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling / rank
 
Normal rank
Property / cites work
 
Property / cites work: A synthesis of risk measures for capital adequacy / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 11:35, 31 July 2024

scientific article
Language Label Description Also known as
English
Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
scientific article

    Statements

    Two-stage nested simulation of tail risk measurement: a likelihood ratio approach (English)
    0 references
    0 references
    0 references
    0 references
    3 February 2023
    0 references
    0 references
    nested simulation
    0 references
    likelihood ratio method
    0 references
    importance sampling
    0 references
    enterprise risk management
    0 references
    conditional tail expectation
    0 references
    tail value-at-risk
    0 references
    expected shortfall
    0 references
    GMWB
    0 references
    0 references
    0 references
    0 references