Adaptive importance sampling for simulating copula-based distributions

DOI10.1016/j.insmatheco.2010.11.004zbMath1232.62082OpenAlexW1968895336MaRDI QIDQ2276225

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) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (2)

Using Copulas to Model Time Dependence in Stochastic Frontier Models ⋮ A maximum entropy approach to loss distribution analysis

Uses Software

• copula
• QRM
• copula

Cites Work

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• The transform likelihood ratio method for rare event simulation with heavy tails
• Sampling Archimedean copulas
• Sampling from Archimedean copulas
• Empirical properties of asset returns: stylized facts and statistical issues
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• Families of Multivariate Distributions
• Simulating from Exchangeable Archimedean Copulas

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