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15-132/III - Tail Distribution of the Maximum of Correlated Gaussian Random Variables


  • Authors
    Zdravko Botev, The University of New South Wales, Sydney, Australia; Michel Mandjes, University of Amsterdam, the Netherlands; Ad Ridder, VU University Amsterdam, the Netherlands
  • Publication date
    December 15, 2015
  • Keywords
    Rare event simulation, Correlated Gaussian, Tail probabilities, Sequential importance sampling
  • JEL
    C61, C63