Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9371-6 |2 doi |
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| 245 | 0 | 0 | |a Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails |h [Elektronische Daten] |c [Søren Asmussen, Dominik Kortschak] |
| 520 | 3 | |a Let Y 1,...,Y n be i.i.d. subexponential and S n = Y 1 + ⋯ + Y n . Asmussen and Kroese (Adv Appl Probab 38:545-558, 2006) suggested a simulation estimator for evaluating ${\mathbb P}(S_n>x)$ , combining an exchangeability argument with conditional Monte Carlo. The estimator was later shown by Hartinger and Kortschak (Bl DGVFM 30:363-377, 2009) to have vanishing relative error. For the Weibull and related cases, we calculate the exact error rate and suggest improved estimators. These improvements can be seen as control variate estimators, but are rather motivated by second order subexponential theory which is also at the core of the technical proofs. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Complexity |2 nationallicence | |
| 690 | 7 | |a Conditional Monte Carlo |2 nationallicence | |
| 690 | 7 | |a Control variates |2 nationallicence | |
| 690 | 7 | |a Lognormal distribution |2 nationallicence | |
| 690 | 7 | |a M/G/1 queue |2 nationallicence | |
| 690 | 7 | |a Pollaczeck-Khinchine formula |2 nationallicence | |
| 690 | 7 | |a Rare event |2 nationallicence | |
| 690 | 7 | |a Regular variation |2 nationallicence | |
| 690 | 7 | |a Ruin theory |2 nationallicence | |
| 690 | 7 | |a Second order subexponentiality |2 nationallicence | |
| 690 | 7 | |a Subexponential distribution |2 nationallicence | |
| 690 | 7 | |a Vanishing relative error |2 nationallicence | |
| 690 | 7 | |a Weibull distribution |2 nationallicence | |
| 700 | 1 | |a Asmussen |D Søren |u Department of Mathematics, Aarhus University, Ny Munkegade, 8000, Aarhus C, Denmark |4 aut | |
| 700 | 1 | |a Kortschak |D Dominik |u Laboratoire SAF, Institut de Science Financière et d'Assurances, Université Lyon 1, 50 Avenue Tony Garnier, 69007, Lyon, France |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 441-461 |x 1387-5841 |q 17:2<441 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9371-6 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9371-6 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Asmussen |D Søren |u Department of Mathematics, Aarhus University, Ny Munkegade, 8000, Aarhus C, Denmark |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Kortschak |D Dominik |u Laboratoire SAF, Institut de Science Financière et d'Assurances, Université Lyon 1, 50 Avenue Tony Garnier, 69007, Lyon, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 441-461 |x 1387-5841 |q 17:2<441 |1 2015 |2 17 |o 11009 | ||