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 |
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Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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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. |
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ISSN: | 1748-4995 1748-5002 |
DOI: | 10.1017/S1748499517000252 |