Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities.
L. Jeff HongGuangwu LiuPublished in: WSC (2011)
Keyphrases
- monte carlo
- importance sampling
- monte carlo simulation
- monte carlo methods
- markov chain
- monte carlo tree search
- simulation study
- monte carlo method
- adaptive sampling
- variance reduction
- markovian decision
- decision making
- particle filter
- matrix inversion
- temporal difference
- dynamical systems
- point processes
- lower bound