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In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
Persistent link: https://www.econbiz.de/10000905138
Persistent link: https://www.econbiz.de/10000905140
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10013010233
Persistent link: https://www.econbiz.de/10013264939
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Persistent link: https://www.econbiz.de/10011990447
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We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process. In addition, the two net cumulative claim processes share a common Brownian motion component....
Persistent link: https://www.econbiz.de/10014480915