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dc.contributor.authorArbenz, Philipp
dc.contributor.authorCambou, Mathieu
dc.contributor.authorHofert, Marius
dc.contributor.authorLemieux, Christiane
dc.contributor.authorTaniguchi, Yoshihiro 15:23:34 (GMT) 15:23:34 (GMT)
dc.description.abstractAn importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at least one of its components is large. Such problems often arise from dependence models in finance and insurance. The importance sampling framework we propose is particularly easy to implement for Archimedean copulas. We also show how the proposal distribution of our algorithm can be optimized by making a connection with stratified sampling. In a case study inspired by a typical insurance application, we obtain variance reduction factors sometimes larger than 1000 in comparison to standard Monte Carlo estimators when both importance sampling and quasi-Monte Carlo methods are used.en
dc.description.sponsorshipNSERC, Grant 238959 NSERC, Grant 5010en
dc.titleImportance Sampling and Stratification for Copula Modelsen
dcterms.bibliographicCitationDick J, Kuo F, Wozniakowski H. Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan. (1): 75-96en
uws.contributor.affiliation1Faculty of Mathematicsen
uws.contributor.affiliation2Statistics and Actuarial Scienceen

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