Author:
Ghamami Samim,Ross Sheldon M.
Abstract
The Asmussen–Kroese Monte Carlo estimators of P(Sn > u) and P(SN > u) are known to work well in rare event settings, where SN is the sum of independent, identically distributed heavy-tailed random variables X1,…,XN and N is a nonnegative, integer-valued random variable independent of the Xi. In this paper we show how to improve the Asmussen–Kroese estimators of both probabilities when the Xi are nonnegative. We also apply our ideas to estimate the quantity E[(SN-u)+].
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
8 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