Rare-event probability estimation with conditional Monte Carlo
DOI10.1007/S10479-009-0539-YzbMATH Open1279.60064OpenAlexW2061070301WikidataQ118141936 ScholiaQ118141936MaRDI QIDQ666350FDOQ666350
Authors: Joshua C. C. Chan, Dirk P. Kroese 
Publication date: 8 March 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1885/32820
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cross-entropyscreeningdegeneracynormal copulabounded relative errorheavy-tailed distributionsubexponential distributionrare eventconditional Monte Carlo\(t\)-copulabottleneckscredit risks
Monte Carlo methods (65C05) Extreme value theory; extremal stochastic processes (60G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Credit risk (91G40)
Cites Work
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- How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation
- HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
Cited In (19)
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
- Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities
- Rare-event detection by Quasi-Wang-Landau Monte Carlo sampling with approximate Bayesian computation
- Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters
- Probability Estimation in the Rare-Events Regime
- Rare Event Simulation using Monte Carlo Methods
- On the generalization of the hazard rate twisting-based simulation approach
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Incorporating radiation in noise-induced phase evolution of optical solitons
- Conditioning out rare events for exponential families has negligible effect on inference
- Computation of credit portfolio loss distribution by a cross entropy method
- Improved cross-entropy method for estimation
- NORTA for portfolio credit risk
- A study on the cross-entropy method for rare-event probability estimation
- Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
- Revisiting the optimal probability estimator from small samples for data mining
- Rare events, splitting, and quasi-Monte Carlo
- Rare events in random geometric graphs
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
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