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An importance sampling algorithm for estimating extremes of perpetuity sequences
Jeffrey F. Collamore
Department of Mathematical Sciences
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Dive into the research topics of 'An importance sampling algorithm for estimating extremes of perpetuity sequences'. Together they form a unique fingerprint.
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Mathematics
Change of Measure
28%
Class
6%
Extremes
57%
Financial Mathematics
28%
Importance Sampling
72%
Insurance
22%
Interval
12%
Markov chain
34%
Perpetuity
100%
Rare Events
26%
Recursion
20%
Relative Error
23%