New efficient estimators in rare event simulation with heavy tails
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Publication:390439
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
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
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