Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error (Q2465684)
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scientific article; zbMATH DE number 5223787
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| English | Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error |
scientific article; zbMATH DE number 5223787 |
Statements
Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error (English)
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7 January 2008
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Bounded relative error
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Asymptotically zero relative error
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Complexity
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Rare event simulation
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Regular variation
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Subexponential distribution
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Importance sampling
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Conditional Monte-Carlo
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Control variate
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0.8162516355514526
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0.797222912311554
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0.7955522537231445
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0.7854784727096558
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