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