Thorbjörn Gudmundsson

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In this paper, we consider random sums with heavy-tailed increments. By the term random sum, we mean a sum of random variables where the number of summands is also random. Our interest is to construct an efficient method to calculate tail-based risk measures such as quantiles and conditional expectation (expected shortfalls). When assuming extreme quantiles(More)
In this paper a method based on a Markov chain Monte Carlo (MCMC) algorithm is proposed to compute the probability of a rare event. The conditional distribution of the underlying process given that the rare event occurs has the probability of the rare event as its normalizing constant. Using the MCMC methodology, a Markov chain is simulated, with the(More)
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