Rare-event probability estimation with conditional Monte Carlo

DOI10.1007/s10479-009-0539-yzbMath1279.60064OpenAlexW2061070301WikidataQ118141936 ScholiaQ118141936MaRDI QIDQ666350

Dirk P. Kroese, Joshua C. C. Chan

Publication date: 8 March 2012

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

Full work available at URL: http://hdl.handle.net/1885/32820

zbMATH Keywords

heavy-tailed distributiondegeneracycross-entropysubexponential distributionscreeningbounded relative errornormal copularare eventconditional Monte Carlo\(t\)-copulabottleneckscredit risks

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Credit risk (91G40)

Related Items (11)

Computation of credit portfolio loss distribution by a cross entropy method ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ On the generalization of the hazard rate twisting-based simulation approach ⋮ Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities ⋮ Improved cross-entropy method for estimation ⋮ Efficient estimation of large portfolio loss probabilities in \(t\)-copula models ⋮ Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models ⋮ NORTA for portfolio credit risk ⋮ Incorporating Radiation in Noise-Induced Phase Evolution of Optical Solitons ⋮ Revisiting the optimal probability estimator from small samples for data mining ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

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