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Adaptive importance sampling estimation of an open economy model with fiscal policy

Grassi, Stefano; Lorusso, Marco; Ravazzolo, Francesco - 2025

Persistent link: https://www.econbiz.de/10015372979

Importance sampling for option pricing with feedforward neural networks

Arandjelović, Aleksandar; Rheinländer, Thorsten; … - In: Finance and stochastics 29 (2025) 1, pp. 97-141

Persistent link: https://www.econbiz.de/10015394776

Advantages of accounting for stochasticity in the premium process

Miao, Yang; Sendova, Kristina P. - In: Risks : open access journal 12 (2024) 10, pp. 1-25

obtaining the probability of ultimate ruin based on importance sampling, which does not require specific distributions for the …

Persistent link: https://www.econbiz.de/10015130492

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

. To overcome this shortcoming, we propose a sequential importance sampling, which is a modification of CMC. In the … VaRs and ESs by the proposed method, and to compare the performance of the proposed sequential importance sampling with CMC. …

Persistent link: https://www.econbiz.de/10015328727

Scenario sampling for large supermodular games

Graham, Bryan S.; Pelican, Andrin - 2023

-reject Monte Carlo integration, are computationally impractical in such settings. In contrast, we introduce a novel importance … sampling algorithm which allows for accurate likelihood simulation with modest numbers of simulation draws. …

Persistent link: https://www.econbiz.de/10014480510