Importance sampling for sums of random variables with regularly varying tails

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Cited in

(27)

Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
Markov chain importance sampling with applications to rare event probability estimation
Importance sampling for a simple Markovian intensity model using subsolutions
Excessive backlog probabilities of two parallel queues
State-independent importance sampling for random walks with regularly varying increments
State-dependent importance sampling for regularly varying random walks
Approximation of the exit probability of a stable Markov modulated constrained random walk
Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
Efficient importance sampling for large sums of independent and identically distributed random variables
Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
Approximation of excessive backlog probabilities of two tandem queues
HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
Counterexamples in importance sampling for large deviations probabilities
Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
On the generalization of the hazard rate twisting-based simulation approach
Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
Rare-event simulation for neural network and random forest predictors
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
On the inefficiency of state-independent importance sampling in the presence of heavy tails
Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
Estimation and approximation of densities of i.i.d. sums via importance sampling.
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Efficient simulation of tail probabilities of sums of correlated lognormals
Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune\dots

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