An importance sampling algorithm for estimating extremes of perpetuity sequences
Publikation: Bidrag til bog/antologi/rapport › Konferencebidrag i proceedings › Forskning › fagfællebedømt
In a wide class of problems in insurance and financial mathematics, it is of interest to study the extremal events of a perpetuity sequence. This paper addresses the problem of numerically evaluating these rare event probabilities. Specifically, an importance sampling algorithm is described which is efficient in the sense that it exhibits bounded relative error, and which is optimal in an appropriate asymptotic sense. The main idea of the algorithm is to use a “dual” change of measure, which is employed to an associated Markov chain over a randomly-stopped time interval. The algorithm also makes use of the so-called forward sequences generated to the given stochastic recursion, together with elements of Markov chain theory.
Originalsprog | Engelsk |
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Titel | AIP Conference Proceedings |
Antal sider | 4 |
Vol/bind | 1479 |
Forlag | American Institute of Physics |
Publikationsdato | 2012 |
Sider | 1966-1969 |
ISBN (Trykt) | 8-0-7354-1091-6 |
DOI | |
Status | Udgivet - 2012 |
Bibliografisk note
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2012: International Conference of Numerical Analysis and Applied Mathematics. - 19–25 September 2012, Kos, Greece
ID: 45682569