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[1303.6257] Sampling exactly from the normal distribution

An algorithm for sampling exactly from the normal distribution is given. The algorithm reads some number of uniformly distributed random digits in a given base and generates an initial portion of the representation of a normal deviate in the same base. Thereaf…

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The latest edition of this classic is updated with new problem sets and material The Second Edition of this fundamental textbook maintains the book's tradition of clear, thought-provoking instruction. Readers are provided once again with an instructive mix of…

Calculating CVaR and bPOE for common probability distributions with application…

Conditional value-at-risk (CVaR) and value-at-risk, also called the superquantile and quantile, are frequently used to characterize the tails of probability distributions and are popular measures of risk in applications where the distribution represents the ma…

[1811.11301] Calculating CVaR and bPOE for Common Probability Distributions With…

Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular measures of risk. Buffered Probability of Exceedance (bPOE) is a r…

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