Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Efficient simulation of tail probabilities for sums of log-elliptical
  risks   In the framework of dependent risks it is a crucial task for risk management
purposes to quantify the probability that the aggregated risk exceeds some
large value u. Motivated by Asmussen et al. (2011) in this paper we introduce a
modified Asmussen-Kroese estimator for simulation of the rare event that the
aggregated risk exceeds u. We show that in the framework of log-Gaussian risks
our novel estimator has the best possible performance. For the more general
class of log-elliptical risks with marginal distributions in the Gumbel
max-domain of attraction we propose a modified Rojas-Nandayapa estimator of the
rare events of interest. Numerical results demonstrate the excellent
performance of our novel Asmussen-Kroese algorithm.

30
The categories of this paper are: q-alg
26
The categories of this paper are: bayes-an
20
The categories of this paper are: acc-phys
35
The categories of this paper are: mtrl-th
11
The categories of this paper are: hep-lat
29
The categories of this paper are: funct-an
6
The categories of this paper are: astro-ph
7
The categories of this paper are: hep-th
18
The categories of this paper are: econ
32
The categories of this paper are: atom-ph
21
The categories of this paper are: adap-org
8
The categories of this paper are: hep-ex
33
The categories of this paper are: plasm-ph
0
The categories of this paper are: hep-ph
31
The categories of this paper are: ao-sci
13
The categories of this paper are: quant-ph