Improving the Asmussen–Kroese-Type Simulation Estimators

DOI10.1239/jap/1354716666zbMath1255.91426OpenAlexW2038897733MaRDI QIDQ4903051

Sheldon M. Ross, Samim Ghamami

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1354716666

zbMATH Keywords

stratificationconditioningvariance reductionstop-loss transformcontrol variaterare eventheavy-tailed random variableefficient Monte Carlo estimation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

New efficient estimators in rare event simulation with heavy tails ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ Simulation Analysis of System Life when Component Lives are Determined by a Marked Point Process ⋮ Error rates and improved algorithms for rare event simulation with heavy Weibull tails ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

Cites Work

• On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms
• Improved algorithms for rare event simulation with heavy tails
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