Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators (Q5220745)
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scientific article; zbMATH DE number 7183092
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| English | Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators |
scientific article; zbMATH DE number 7183092 |
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Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators (English)
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27 March 2020
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change of measure
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exponential tilt
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Gamma distribution
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geometric distribution
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importance sampling
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Poisson distribution
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rare event
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score Monte Carlo method
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Weibull distribution
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0.810735821723938
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0.8085132837295532
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0.7821744680404663
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0.7799431085586548
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0.7798733711242676
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