Bounded Relative Error Importance Sampling and Rare Event Simulation

DOI10.2143/AST.40.1.2049235zbMATH Open1191.65007OpenAlexW2123021420MaRDI QIDQ3569722FDOQ3569722

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Cites Work

• Stochastic simulation: Algorithms and analysis
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Title not available (Why is that?)
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY

Cited In (5)

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

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