Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk (Q3625360)
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scientific article; zbMATH DE number 5552621
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| default for all languages | No label defined |
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| English | Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk |
scientific article; zbMATH DE number 5552621 |
Statements
Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk (English)
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12 May 2009
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compound distributions
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cross-entropy
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defensive mixtures
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importance sampling
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tail probability
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0.7939828634262085
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0.7794524431228638
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0.7793101668357849
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0.7741082906723022
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0.7720494866371155
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