Exponential family techniques for the lognormal left tail (Q2821479)
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scientific article; zbMATH DE number 6628983
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential family techniques for the lognormal left tail |
scientific article; zbMATH DE number 6628983 |
Statements
21 September 2016
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Cramér function
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Esscher transform
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exponential change of measure
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importance sampling
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Lambert \(W\) function
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Laplace method
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Laplace transform
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lognormal distribution
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outage probability
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rare event simulation
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saddlepoint approximation
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VaR (value-at-risk)
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Exponential family techniques for the lognormal left tail (English)
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