Error rates and improved algorithms for rare event simulation with heavy Weibull tails

DOI10.1007/s11009-013-9371-6zbMath1347.60029OpenAlexW2000471346MaRDI QIDQ2516393

Dominik Kortschak, Soren Asmussen

Publication date: 31 July 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/100993607/math_thiele_2013_02.pdf

zbMATH Keywords

asymptoticsregular variationruin theorylognormal distributionsubexponential distributionestimatorscontrol variatesrare event simulationerror ratesPollaczeck-Khinchine formulaconditional Monte Carlo method\(\mathrm{M}/\mathrm{G}/1\) queueheavy Weibull tails

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Limit theorems in probability theory (60F99)

Related Items (7)

New efficient estimators in rare event simulation with heavy tails ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ On the generalization of the hazard rate twisting-based simulation approach ⋮ Linear stochastic fluid networks: rare-event simulation and Markov modulation ⋮ Error rates and improved algorithms for rare event simulation with heavy Weibull tails ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

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