Conditional Monte Carlo for sums, with applications to insurance and finance

Conditional Monte Carlo replaces a naive estimate Z of a number z by its conditional expectation given a suitable piece of information. It always reduces variance and its traditional applications are in that vein. We survey here other potential uses such as density estimation and calculations for Va...

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Veröffentlicht in:Annals of actuarial science 2018-09, Vol.12 (2), p.455-478
1. Verfasser: Asmussen, Søren
Format: Artikel
Sprache:eng
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Zusammenfassung:Conditional Monte Carlo replaces a naive estimate Z of a number z by its conditional expectation given a suitable piece of information. It always reduces variance and its traditional applications are in that vein. We survey here other potential uses such as density estimation and calculations for Value-at-Risk and/or expected shortfall, going in part into the implementation in various copula structures. Also the interplay between these different aspects comes into play.
ISSN:1748-4995
1748-5002
DOI:10.1017/S1748499517000252