Exponential Family Techniques for the Lognormal Left Tail-Reference-Cited by-同舟云学术

Exponential Family Techniques for the Lognormal Left Tail

Published:2016-02-05 Issue:3 Volume:43 Page:774-787
ISSN:0303-6898
Container-title:Scandinavian Journal of Statistics
language:en
Short-container-title:Scand J Statist

Author:

Asmussen Søren¹,Jensen Jens Ledet¹,Rojas‐Nandayapa Leonardo²

Affiliation:

1. Department of Mathematics Aarhus University

2. School of Mathematics and Physics University of Queensland

Funder

Division of Arctic Sciences

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/sjos.12203

Reference34 articles.

1. Efficient simulation of tail probabilities of sums of correlated lognormals

2. Stochastic Simulation: Algorithms and Analysis

3. Asmussen S. Jensen J. L.&Rojas‐Nandayapa L.(2014a).Numerical examples accompanying the paper “Exponential Family Techniques for the Lognormal Left Tail”. Available at:http://www.smp.uq.edu.au/people/LeonardoRojas-Nandayapa/NumericalExamples.pdf[Accessed on November 2014].

Cited by 21 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Efficient exponential tilting with applications;Statistics and Computing;2024-01-13

2. State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables;Statistics and Computing;2023-02-04

3. Efficient Algorithms for Tail Probabilities of Exchangeable Lognormal Sums;Methodology and Computing in Applied Probability;2021-10-26

4. Efficient importance sampling for large sums of independent and identically distributed random variables;Statistics and Computing;2021-10-11

5. Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates;Mathematical Methods of Operations Research;2021-01-15