Bounded Relative Error Importance Sampling and Rare Event Simulation

DOI10.2143/AST.40.1.2049235MaRDI QIDQ3569722zbMATHOpenAlexFDO

Authors Donald L. McLeish

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.40.1.2049235

zbMATH Keywords

rare event simulationtail eventsimportance sampling distributionsTukey's g\&h distribution

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

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Cites work

• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• Monte Carlo simulation and finance.
• Stochastic simulation: Algorithms and analysis
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

Cited in

(7)

• Error rates and improved algorithms for rare event simulation with heavy Weibull tails
• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
• Cross-Entropy-Based Importance Sampling with Failure-Informed Dimension Reduction for Rare Event Simulation
• Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
• Asymptotic robustness of estimators in rare-event simulation
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables

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