T paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a quadratic (’’delta-gamma’’) approximation to the change in portfolio value to guide the selection of e...

In a recent paper Maritz and Jarrett (1978) proposed a small-sample estimate of the variance of sample medians from continuous population. In this paper their methods are adapted to median estimation in s~atified sampling without replacement from finite populations. A weighted sample median for estimating the median of heavy-tailed or skewed populations is proposed. Its asymptotic normal distri...

Calibration estimation, which can be roughly described as a method of adjusting the original design weights to incorporate the known population totals of the auxiliary variables, has become very popular in sample surveys. The calibration weights are chosen to minimize a given distance measure while satisfying a set of constraints related to the auxiliary variable information. Under simple rando...

A well-designed sampling plan can greatly enhance the information that can be produced from a survey. Once a broad sample design is identified, specific design parameters such as sample sizes and selection probabilities need to be chosen. This is typically achieved using an optimal sample design, which minimizes the variance of a key statistic or statistics, expressed as a function of design pa...