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Exponential Family Techniques for the Lognormal Left Tail

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DOI

Original languageEnglish
JournalScandinavian Journal of Statistics
Volume43
Issue3
Pages (from-to)774-787
Number of pages14
ISSN0303-6898
DOIs
Publication statusPublished - 2016

    Research areas

  • Cramér function, Esscher transform, Exponential change of measure, Importance sampling, Lambert W function, Laplace method, Laplace transform, Lognormal distribution, Outage probability, Rare event simulation, Saddlepoint approximation, VaR

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