A review of conditional rare event simulation for tail probabilities of heavy tailed random variables (Q740945)

This is a review on existing methods for approximating the tail probability of a sum of random variables. While a general overview of Monte Carlo methods is discussed, particular emphasis is given to the heavy-tailed marginal distributions case and the conditional Monte Carlo technique within the area of rare event simulation. Conditional Monte Carlo estimators are studied in the independent and non-independent case and analytical asymptotic approximations are discussed as well.