The objective of this paper is to study the effect of efficient importance sampling (EIS) techniques on simulating the distribution-invariant convex risk measures: utility-based shortfall risk measures (USR). We firstly introduce EIS to simulate USR based on nonlinear Generalized Least Squares and demonstrate how to choose a candidate density in the context of multi-normal distributions. After presenting the construction of our algorithm, we apply our efficient scheme for calculating Entropic risk measure under the setting of the mixed Poisson model of CreditRisk
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. We furthermore make an imp...
