SWIM
Scenario Weights for Importance Measurement
An efficient sensitivity analysis for stochastic models based on Monte Carlo samples. Provides weights on simulated scenarios from a stochastic model, such that stressed random variables fulfil given probabilistic constraints (e.g. specified values for risk measures), under the new scenario weights. Scenario weights are selected by constrained minimisation of the relative entropy to the baseline model. The 'SWIM' package is based on Pesenti S.M., Millossovich P., Tsanakas A. (2019) "Reverse Sensitivity Testing: What does it take to break the model"
- Version1.0.0
- R versionunknown
- LicenseGPL-3
- Needs compilation?No
- Languageen-US
- SWIM citation info
- Last release01/09/2022
Documentation
Team
Silvana M. Pesenti
Alberto Bettini
Show author detailsRolesAuthorPietro Millossovich
Andreas Tsanakas
Zhuomin Mao
Show author detailsRolesContributorKent Wu
Show author detailsRolesContributor
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