Efficient simulation of tail probabilities of sums of correlated lognormals
DOI10.1007/S10479-009-0658-5zbMATH Open1279.60027OpenAlexW2154700532MaRDI QIDQ666348FDOQ666348
Authors: S. Juneja, L. Rojas-Nandayapa, Søren Asmussen, Jose Blanchet 
Publication date: 8 March 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/41924800/imf_thiele_2008_11.pdf
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efficiencyimportance samplingBlack-Scholes modelrare-event simulationcross-entropy methodcorrelated lognormalsvanishing relative error
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Cited In (26)
- Efficient simulation of tail probabilities of sums of dependent random variables
- Tail asymptotics of random sum and maximum of log-normal risks
- Brexit and foreign exchange market expectations: could it have been predicted?
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Tail behavior of sums and differences of log-normal random variables
- Second order asymptotics of aggregated log-elliptical risk
- Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
- Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields
- On the density functions of integrals of Gaussian random fields
- Aggregation of log-linear risks
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- On the generalization of the hazard rate twisting-based simulation approach
- Rare-Event Simulation for Distribution Networks
- Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks
- Markov chain importance sampling with applications to rare event probability estimation
- Tail variance allocation, Shapley value, and the majorization problem
- Tail Behavior and Limit Distribution of Maximum of Logarithmic General Error Distribution
- Efficient simulation of tail probabilities for sums of log-elliptical risks
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Monte Carlo estimation of the density of the sum of dependent random variables
- Risk aggregation in Solvency II through recursive log-normals
- A fast and accurate numerical method for the left tail of sums of independent random variables
- Tail approximations of integrals of Gaussian random fields
- Fast and accurate computation of the distribution of sums of dependent log-normals
- Exponential family techniques for the lognormal left tail
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
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