Rare tail approximation using asymptotics and $L^1$ polar coordinates

Thomas Taimre (1) , Patrick J. Laub (2)

1 School of Mathematics and Physics [Brisbane]
2 SAF - Laboratoire de Sciences Actuarielle et Financière

In this work, we propose a class of importance sampling estimators for estimating the right tail probability of a sum of continuous random variables based on a change of variables to L1 polar coordinates in which the radial and angular components of the IS distribution are considered separately.

Domaines: Probabilités [math.PR]; Modélisation et simulation

Thomas Taimre, Patrick J. Laub. Rare tail approximation using asymptotics and $L^1$ polar coordinates. 2019. ⟨hal-02014900⟩