Importance sampling for sums of random variables with regularly varying tails

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Cited in

(29)

Estimation and approximation of densities of i.i.d. sums via importance sampling.
Counterexamples in importance sampling for large deviations probabilities
On the generalization of the hazard rate twisting-based simulation approach
Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
Efficient importance sampling for large sums of independent and identically distributed random variables
Approximation of the exit probability of a stable Markov modulated constrained random walk
Excessive backlog probabilities of two parallel queues
Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
On the inefficiency of state-independent importance sampling in the presence of heavy tails
Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune\dots
Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
State-dependent importance sampling for regularly varying random walks
Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
Approximation of excessive backlog probabilities of two tandem queues
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
State-independent importance sampling for random walks with regularly varying increments
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Importance sampling for a simple Markovian intensity model using subsolutions
Rare-event simulation for neural network and random forest predictors
Efficient simulation of tail probabilities of sums of correlated lognormals
Positing, fitting, and selecting regression models for pooled biomarker data
Hitting probabilities of constrained random walks representing tandem networks
Markov chain importance sampling with applications to rare event probability estimation
Efficient rare-event simulation for the maximum of heavy-tailed random walks

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