Efficient simulation of tail probabilities for sums of log-elliptical risks (Q1946192)
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scientific article; zbMATH DE number 6155441
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| English | Efficient simulation of tail probabilities for sums of log-elliptical risks |
scientific article; zbMATH DE number 6155441 |
Statements
Efficient simulation of tail probabilities for sums of log-elliptical risks (English)
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18 April 2013
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Asmussen-Kroese estimator
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Rojas-Nandayapa estimator
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log-elliptical distribution
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log-Gaussian distribution
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asymptotically vanishing relative error
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0.9143079
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0.9137683
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0.8818401
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0.8720238
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0.8716847
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0.8705077
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0.8663583
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0.86568934
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