Adaptive importance sampling for simulating copula-based distributions

DOI10.1016/J.INSMATHECO.2010.11.004MaRDI QIDQ2276225zbMATH OpenOpenAlexFDO

Authors Marco Bee

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.11.004

zbMATH Keywords

cross-entropyfinite mixtures

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Statistical methods; risk measures (91G70)

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Cites work

• Empirical properties of asset returns: stylized facts and statistical issues
• Families of Multivariate Distributions
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Sampling Archimedean copulas
• Sampling from Archimedean copulas
• Simulating from Exchangeable Archimedean Copulas
• The transform likelihood ratio method for rare event simulation with heavy tails

Cited in

(3)

• Importance sampling and stratification for copula models
• Using copulas to model time dependence in stochastic frontier models
• A maximum entropy approach to loss distribution analysis

Describes a project that uses

Uses Software

• copula
• QRM
• copula

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