A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Year of publication: |
2015
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Authors: | Scott, Alexandre ; Metzler, Adam |
Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 279-293
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Subject: | Importance sampling | Monte Carlo | Kullback-Leibler divergence | Exponential tilts | Gaussian copula | t copula | Portfolio loss | Cross-entropy method | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Stichprobenerhebung | Sampling | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory |
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