Pages that link to "Item:Q5480012"
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The following pages link to Improved algorithms for rare event simulation with heavy tails (Q5480012):
Displayed 45 items.
- New efficient estimators in rare event simulation with heavy tails (Q390439) (← links)
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks (Q436303) (← links)
- On the transition from heavy traffic to heavy tails for the \(M/G/1\) queue: the regularly varying case (Q535208) (← links)
- Uniform approximations for the \(M/G/1\) queue with subexponential processing times (Q543561) (← links)
- On ruin probability and aggregate claim representations for Pareto claim size distributions (Q659155) (← links)
- Efficient simulation of tail probabilities of sums of correlated lognormals (Q666348) (← links)
- Rare-event probability estimation with conditional Monte Carlo (Q666350) (← links)
- Importance sampling in path space for diffusion processes with slow-fast variables (Q681519) (← links)
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation (Q892484) (← links)
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks (Q907282) (← links)
- Efficient rare-event simulation for the maximum of heavy-tailed random walks (Q939072) (← links)
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models (Q976453) (← links)
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates (Q1637513) (← links)
- On the generalization of the hazard rate twisting-based simulation approach (Q1702282) (← links)
- Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix (Q1750003) (← links)
- The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation (Q1990056) (← links)
- Monte Carlo estimation of the density of the sum of dependent random variables (Q1997555) (← links)
- Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails (Q2065463) (← links)
- Rare events in random geometric graphs (Q2157382) (← links)
- Efficient algorithms for tail probabilities of exchangeable lognormal sums (Q2157423) (← links)
- Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models (Q2282728) (← links)
- Fast and accurate computation of the distribution of sums of dependent log-normals (Q2288871) (← links)
- Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations (Q2357425) (← links)
- Performance analysis with truncated heavy-tailed distributions (Q2433244) (← links)
- Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue (Q2465680) (← links)
- Efficient simulation of finite horizon problems in queueing and insurance risk (Q2465683) (← links)
- Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error (Q2465684) (← links)
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails (Q2516393) (← links)
- On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms (Q2655599) (← links)
- Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model (Q3068190) (← links)
- The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling (Q3167340) (← links)
- Laplace Transforms of Probability Distributions and Their Inversions are Easy on Logarithmic Scales (Q3516424) (← links)
- State-dependent importance sampling for regularly varying random walks (Q3603200) (← links)
- Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk (Q3625360) (← links)
- THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL (Q4563775) (← links)
- Tail asymptotics of light-tailed Weibull-like sums (Q4578296) (← links)
- Improving the Asmussen–Kroese-Type Simulation Estimators (Q4903051) (← links)
- Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling (Q4906511) (← links)
- Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk (Q5169731) (← links)
- Simulation Analysis of System Life when Component Lives are Determined by a Marked Point Process (Q5169732) (← links)
- Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields (Q5176919) (← links)
- State-independent Importance Sampling for Random Walks with Regularly Varying Increments (Q5247112) (← links)
- Fixed Precision MCMC Estimation by Median of Products of Averages (Q5321751) (← links)
- Estimation of extreme quantiles in a simulation model (Q5742402) (← links)
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables (Q6171770) (← links)