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Rare event simulation for processes generated via stochastic fixed point equations
Monte Carlo methods importance sampling perpetuities
2011/7/19
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional equation ...
Fixed Point Iteration for Estimating The Parameters of Extreme Value Distributions
Fixed Point Iteration Parameters Extreme Value Distributions
2010/3/18
Maximum likelihood estimations for the parameters of extreme value distributions
are discussed in this paper using fixed point iteration. The commonly used
numerical approach for adressing this prob...