Exponential Family Techniques for the Lognormal Left Tail (Q2821479)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential Family Techniques for the Lognormal Left Tail |
scientific article |
Statements
Exponential Family Techniques for the Lognormal Left Tail (English)
0 references
21 September 2016
0 references
Cramér function
0 references
Esscher transform
0 references
exponential change of measure
0 references
importance sampling
0 references
Lambert \(W\) function
0 references
Laplace method
0 references
Laplace transform
0 references
lognormal distribution
0 references
outage probability
0 references
rare event simulation
0 references
saddlepoint approximation
0 references
VaR (value-at-risk)
0 references
