Bounded Relative Error Importance Sampling and Rare Event Simulation

DOI10.2143/AST.40.1.2049235zbMath1191.65007OpenAlexW2123021420MaRDI QIDQ3569722

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

Related Items (2)

The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables ⋮ Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Cites Work

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

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