A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Alexandre Scott; Adam Metzler
| Year of publication: |
2015
|
|---|---|
| Authors: | Scott, Alexandre ; Metzler, Adam |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 279-293
|
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011398073