Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303): Difference between revisions

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+conditional distribution
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+heavy-tailed distribution
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+change of measure
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+rare-event simulation
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+numerical examples
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+Monte Carlo estimators
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+Monte Carlo algorithm
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+central limit theorem
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@@ Property / arXiv ID: 1006.2808 / rank @@
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@@ Property / cites work @@
+Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the <i>GI/G/</i>1 queue
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@@ Property / cites work @@
+Applied Probability and Queues
@@ Property / cites work: Applied Probability and Queues / rank @@
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@@ Property / cites work @@
+Rare events simulation for heavy-tailed distributions
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@@ Property / cites work @@
+Large deviations results for subexponential tails, with applications to insurance risk
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@@ Property / cites work @@
+Improved algorithms for rare event simulation with heavy tails
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@@ Property / cites work @@
+Q4878849
@@ Property / cites work: Q4878849 / rank @@
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@@ Property / cites work @@
+On the inefficiency of state-independent importance sampling in the presence of heavy tails
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@@ Property / cites work @@
+Efficient rare-event simulation for the maximum of heavy-tailed random walks
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+Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
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+Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
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+State-dependent importance sampling for regularly varying random walks
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+On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
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+Q5437085
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@@ Property / cites work @@
+Q4391441
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@@ Property / cites work @@
+Importance sampling for sums of random variables with regularly varying tails
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@@ Property / cites work @@
+Importance sampling for Jackson networks
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+Dynamic importance sampling for uniformly recurrent Markov chains
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+Q4343010
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@@ Property / cites work @@
+Discrete and continuous time modulated random walks with heavy-tailed increments
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+Functional large deviations for multivariate regularly varying random walks
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+Subexponential asymptotics of a Markov-modulated random walk with queueing applications
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+Simulating heavy tailed processes using delayed hazard rate twisting
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+Ruin probabilities and overshoots for general Lévy insurance risk processes
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+On distribution tail of the maximum of a random walk
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+Markov chains and stochastic stability
@@ Property / cites work: Markov chains and stochastic stability / rank @@
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@@ Property / cites work @@
+Large deviations of heavy-tailed sums with applications in insurance
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+Large Deviations of Square Root Insensitive Random Sums
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+On a Property of Sums of Independent Random Variables
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+On the tails of waiting-time distributions
@@ Property / cites work: On the tails of waiting-time distributions / rank @@
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@@ Property / cites work @@
+Asymptotic behaviour of Wiener-Hopf factors of a random walk
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@@ Property / cites work @@
+Estimates for the probability of ruin with special emphasis on the possibility of large claims
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+Q3860551
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@@ Property / cites work @@
+Importance sampling in the Monte Carlo study of sequential tests
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+Q2760877
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+Publication:436303