Efficient Simulation for Dependent Rare Events with Applications to Extremes

Lars Nørvang Andersen (), Patrick Laub and Leonardo Rojas-Nandayapa ()
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Lars Nørvang Andersen: Aarhus University
Leonardo Rojas-Nandayapa: University of Liverpool

Methodology and Computing in Applied Probability, 2018, vol. 20, issue 1, 385-409

Abstract: Abstract We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in numerical examples.

Keywords: Rare-event probabilities; Bounded relative error; Extremal values; Copulas; 65C05; 65C60; 68U20 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11009-017-9557-4

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