Efficient simulation of tail probabilities of sums of dependent random variables
نویسندگان
چکیده
منابع مشابه
Efficient Simulation of Tail Probabilities of Sums of Dependent Random Variables
We study asymptotically optimal simulation algorithms for approximating the tail probability of P(e1 + · · · + ed > u) as u → ∞. The first algorithm proposed is based on Conditional Monte Carlo and assumes that (X1, . . . , Xd) has an elliptical distribution with very mild assumptions on the radial component. This algorithm is applicable to a large class of models in finance as we demonstrate w...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2011
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1318940462