BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING

DOI10.1142/S0219024910006200zbMath1203.91317OpenAlexW1999112423MaRDI QIDQ3067164

Wolfgang Hörmann, Halis Sak, Josef Leydold

Publication date: 20 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006200

zbMATH Keywords

confidence intervalsimportance samplingquantitative risk managementHall's transformationskewness removal

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40)

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• Importance Sampling for Portfolio Credit Risk
• A Confidence Interval and Test for the Mean of an Asymmetric Distribution
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Nonparametric confidence intervals for the one- and two-sample problems

This page was built for publication: BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING