Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An importance sampling approach for copula models in insurance   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 mainly on the behaviour of the underlying random vector
when at least one of the components is large. Such problems often arise from
dependence models in finance and insurance. The importance sampling framework
we propose is general and can be easily implemented for all classes of copula
models from which sampling is feasible. We show how the proposal distribution
of the two algorithms can be optimized to reduce the sampling error. In a case
study inspired by a typical multivariate insurance application, we obtain
variance reduction factors between 10 and 30 in comparison to standard Monte
Carlo estimators.

15
The categories of this paper are: nucl-ex
3
The categories of this paper are: physics
21
The categories of this paper are: adap-org
6
The categories of this paper are: astro-ph
12
The categories of this paper are: nucl-th
8
The categories of this paper are: hep-ex
5
The categories of this paper are: gr-qc
22
The categories of this paper are: chao-dyn
32
The categories of this paper are: atom-ph
7
The categories of this paper are: hep-th
25
The categories of this paper are: patt-sol
30
The categories of this paper are: q-alg
35
The categories of this paper are: mtrl-th
2
The categories of this paper are: math
1
The categories of this paper are: cs
11
The categories of this paper are: hep-lat