Efficient simulation of tail probabilities for sums of log-elliptical risks

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Etat: Public
Version: de l'auteur
ID Serval
serval:BIB_365632A11557
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Efficient simulation of tail probabilities for sums of log-elliptical risks
Périodique
Journal of Computational and Applied Mathematics
Auteur(s)
Kortschak D., Hashorva E.
ISSN
0377-0427 (Print)
Statut éditorial
Publié
Date de publication
2013
Peer-reviewed
Oui
Volume
247
Pages
53-67
Langue
anglais
Résumé
In the framework of dependent risks it is a crucial task for risk management purposes to quantify the probability that the aggregated risk exceeds some large value u. Motivated by Asmussen et al. (2011) [1] in this paper we introduce a modified Asmussen-Kroese estimator for simulation of the rare event that the aggregated risk exceeds u. We show that in the framework of log-Gaussian risks our novel estimator has the best possible performance i.e., it has asymptotically vanishing relative error. For the more general class of log-elliptical risks with marginal distributions in the Gumbel max-domain of attraction we propose a modified Rojas-Nandayapa estimator of the rare events of interest, which for specific importance sampling densities has a good logarithmic performance. Our numerical results presented in this paper demonstrate the excellent performance of our novel Asmussen-Kroese algorithm.
Mots-clé
Asmussen-Kroese estimator, Rojas-Nandayapa estimator, Log-elliptical distribution, Log-Gaussian distribution, Asymptotically vanishing relative error
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Création de la notice
09/01/2013 10:33
Dernière modification de la notice
20/08/2019 13:24
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