24 search results - page 2 / 5 » Asymptotic robustness of estimators in rare-event simulation |
EOR
2010
13 years 5 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
MA
2011
Springer
13 years 8 days ago
2011
Springer
The class of dual φ-divergence estimators (introduced in Broniatowski and Keziou (2009) [6]) is explored with respect to robustness through the influence function approach. For ...
IOR
2006
13 years 5 months ago
2006
For a discrete-time finite-state Markov chain, we develop an adaptive importance sampling scheme to estimate the expected total cost before hitting a set of terminal states. This s...
IOR
2008
13 years 5 months ago
2008
This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
SMA
2010
ACM
13 years 1 days ago
2010
ACM
Abstract Nonparametric correlation estimators as the Kendall and Spearman correlation are widely used in the applied sciences. They are often said to be robust, in the sense of bei...