34 citations · 35 across the 2 of their papers we have counts for
2 papers
stat.CO2014★ 1 cited
An importance sampling approach for copula models in insurance
Philipp Arbenz, Mathieu Cambou, Marius Hofert
An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends main…
math.ST2011★ 34 cited
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Philipp Arbenz, Paul Embrechts, Giovanni Puccetti
We propose a new algorithm to compute numerically the distribution function of the sum of dependent, non-negative random variables with given joint distribution.