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New efficient estimators in rare event simulation with heavy tails

Author

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  • Christian Yann Robert

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Quang Huy Nguyen

    (LORIA - Laboratoire Lorrain de Recherche en Informatique et ses Applications - Inria - Institut National de Recherche en Informatique et en Automatique - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique)

Abstract

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Suggested Citation

  • Christian Yann Robert & Quang Huy Nguyen, 2014. "New efficient estimators in rare event simulation with heavy tails," Post-Print hal-02006632, HAL.
    • Handle: RePEc:hal:journl:hal-02006632
    DOI: 10.1016/j.cam.2013.10.044
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    Cited by:

    1. Cuberos A. & Masiello E. & Maume-Deschamps V., 2015. "High level quantile approximations of sums of risks," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, October.
    2. Zdravko I. Botev & Robert Salomone & Daniel Mackinlay, 2019. "Fast and accurate computation of the distribution of sums of dependent log-normals," Annals of Operations Research, Springer, vol. 280(1), pages 19-46, September.
    3. Hansjörg Albrecher & Martin Bladt & Eleni Vatamidou, 2021. "Efficient Simulation of Ruin Probabilities When Claims are Mixtures of Heavy and Light Tails," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1237-1255, December.

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