Fast and accurate computation of the distribution of sums of dependent log-normals

DOI10.1007/s10479-019-03161-xzbMath1448.60029arXiv1705.03196OpenAlexW2613400311WikidataQ128423677 ScholiaQ128423677MaRDI QIDQ2288871

Robert Salomone, Daniel Mackinlay, Zdravko I. Botev

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.03196

zbMATH Keywords

large deviationslog-normal distributionlogarithmic efficiencyrare-event simulationquasi Monte Carlolognormalconditional Monte Carlosecond-order efficiency

Mathematics Subject Classification ID

Point estimation (62F10) Computational methods for problems pertaining to probability theory (60-08) Probability distributions: general theory (60E05)

Related Items (4)

Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ Efficient algorithms for tail probabilities of exchangeable lognormal sums ⋮ A note on portfolios of averages of lognormal variables ⋮ Efficient importance sampling for large sums of independent and identically distributed random variables

Uses Software

• QRM

Cites Work

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• Tail behavior of sums and differences of log-normal random variables

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