Rare-event probability estimation with conditional Monte Carlo
type: Item
instance of: scholarly article
title: Rare-event probability estimation with conditional Monte Carlo
zbMATH Open document ID: 1279.60064
author: Joshua C. C. Chan
author: Dirk P. Kroese
published in: Annals of Operations Research
publication date: 2012-03-08T00:00:00Z
full work available at URL: http://hdl.handle.net/1885/32820
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G40
zbMATH DE Number: 6012982
zbMATH Keywords: bounded relative error
zbMATH Keywords: conditional Monte Carlo
zbMATH Keywords: cross-entropy
zbMATH Keywords: screening
zbMATH Keywords: bottlenecks
zbMATH Keywords: degeneracy
zbMATH Keywords: heavy-tailed distribution
zbMATH Keywords: rare event
zbMATH Keywords: subexponential distribution
zbMATH Keywords: normal copula
zbMATH Keywords: \(t\)-copula
zbMATH Keywords: credit risks
MaRDI profile type: Publication
OpenAlex ID: W2061070301
Wikidata QID: Q118141936
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DOI: 10.1007/S10479-009-0539-Y
description: scientific article; zbMATH DE number 6012982