Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk

DOI10.1080/03610910802702510zbMath1160.62307OpenAlexW2141978840MaRDI QIDQ3625360

Marco Bee

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802702510

zbMATH Keywords

tail probabilityimportance samplingcross-entropycompound distributionsdefensive mixtures

Mathematics Subject Classification ID

Point estimation (62F10) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Inventory management with log-normal demand per unit time

Uses Software

• Flury

Cites Work

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• Optimization of computer simulation models with rare events
• Large deviations of heavy-tailed sums with applications in insurance
• Rare events simulation for heavy-tailed distributions
• On the optimality and stability of exponential twisting in Monte Carlo estimation
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Simulation and the Monte Carlo Method
• Improved algorithms for rare event simulation with heavy tails

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