New efficient estimators in rare event simulation with heavy tails

DOI10.1016/J.CAM.2013.10.044zbMath1418.62219OpenAlexW2008586314MaRDI QIDQ390439

Quang Huy Nguyen, Christian Y. Robert

Publication date: 8 January 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.10.044

zbMATH Keywords

heavy-tailed distributionsrare event simulationAsmussen and Kroese estimatorefficient estimators

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Statistics of extreme values; tail inference (62G32)

Related Items (4)

High level quantile approximations of sums of risks ⋮ Asymptotic stochastic dominance rules for sums of i.i.d. random variables ⋮ Fast and accurate computation of the distribution of sums of dependent log-normals ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

Cites Work

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• On importance sampling with mixtures for random walks with heavy tails
• Improving the Asmussen–Kroese-Type Simulation Estimators
• Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
• Improved algorithms for rare event simulation with heavy tails
• Advances in Neural Networks – ISNN 2005

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