Exponential Family Techniques for the Lognormal Left Tail

DOI10.1111/sjos.12203zbMath1468.62257arXiv1403.4689OpenAlexW2261416239MaRDI QIDQ2821479

Leonardo Rojas-Nandayapa, Jens Ledet Jensen, Soren Asmussen

Publication date: 21 September 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.4689

zbMATH Keywords

Laplace transformsaddlepoint approximationimportance samplingLaplace methodlognormal distributionexponential change of measureoutage probabilityLambert \(W\) functionEsscher transformrare event simulationCramér functionVaR (value-at-risk)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory of statistical distributions (62E10)

Related Items

On the Laplace transform of the lognormal distribution, On the efficient simulation of the left-tail of the sum of correlated log-normal variates, Efficient algorithms for tail probabilities of exchangeable lognormal sums, State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables, Approximating the Laplace transform of the sum of dependent lognormals, Approximating the probability density function of a transformation of random variables, Fast and accurate computation of the distribution of sums of dependent log-normals, Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates, On log-normal convolutions: an analytical-numerical method with applications to economic capital determination, Exponential Family Techniques for the Lognormal Left Tail, Efficient importance sampling for large sums of independent and identically distributed random variables

Uses Software

• QRM

Cites Work

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