Efficient simulation of tail probabilities of sums of correlated lognormals
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Cites work
- scientific article; zbMATH DE number 54039 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- scientific article; zbMATH DE number 3196612 (Why is no real title available?)
- Asymptotics of sums of lognormal random variables with Gaussian copula
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
- Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
- Importance sampling for sums of random variables with regularly varying tails
- Improved algorithms for rare event simulation with heavy tails
- Introduction to rare event simulation.
- Stochastic simulation: Algorithms and analysis
- The transform likelihood ratio method for rare event simulation with heavy tails
Cited in
(27)- Markov chain importance sampling with applications to rare event probability estimation
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
- Efficient simulation of tail probabilities of sums of dependent random variables
- Second order asymptotics of aggregated log-elliptical risk
- Tail behavior and limit distribution of maximum of logarithmic general error distribution
- Brexit and foreign exchange market expectations: could it have been predicted?
- A fast and accurate numerical method for the left tail of sums of independent random variables
- Efficient algorithms for tail probabilities of exchangeable lognormal sums
- Monte Carlo estimation of the density of the sum of dependent random variables
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- On the generalization of the hazard rate twisting-based simulation approach
- Risk aggregation in Solvency II through recursive log-normals
- On the density functions of integrals of Gaussian random fields
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- Fast and accurate computation of the distribution of sums of dependent log-normals
- Efficient simulation of tail probabilities for sums of log-elliptical risks
- Tail variance allocation, Shapley value, and the majorization problem
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Aggregation of log-linear risks
- Tail behavior of sums and differences of log-normal random variables
- Rare-event simulation for distribution networks
- Tail asymptotics of random sum and maximum of log-normal risks
- Tail behavior of weighted sums of order statistics of dependent risks
- Exponential family techniques for the lognormal left tail
- Tail approximations of integrals of Gaussian random fields
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