Efficient Tail Estimation for Sums of Correlated Lognormals (with S. Juneja and L. Rojas-Nandayapa)

Summary:

This is the conference version of the paper [“Efficient Simulation of Tail Probabilities of Sums of Correlated Lognormals’’]. Although it doesn’t have complete proofs it contains a very interesting conditional Monte Carlo procedure absent in the journal version.

Bibtex:

@INPROCEEDINGS {BlanJunejaRojasNan09,

AUTHOR={ J. Blanchet and S. Juneja and L. Rojas-Nandayapa},

YEAR={2008},

TITLE={Efficient tail estimation for sums of correlated lognormals},

BOOKTITLE={Proceedings of the 2008 Winter Simulation Conference},

EDITOR={S. J. Mason, R. R. Hill, L. Moench and O. Rose},

PUBLISHER={IEEE Press},

PAGES={607-614}

}