Simulating heavy tailed processes using delayed hazard rate twisting

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(21)

State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Improved algorithms for rare event simulation with heavy tails
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
State-independent importance sampling for random walks with regularly varying increments
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
On the efficient simulation of the left-tail of the sum of correlated log-normal variates
Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
On the generalization of the hazard rate twisting-based simulation approach
Efficient importance sampling for large sums of independent and identically distributed random variables
Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
A fast and accurate numerical method for the left tail of sums of independent random variables
On the inefficiency of state-independent importance sampling in the presence of heavy tails
Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
State-dependent importance sampling for regularly varying random walks
New efficient estimators in rare event simulation with heavy tails

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