Efficient rare event simulation for heavy-tailed compound sums
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Publication:4635168
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Cited in
(17)- Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables
- Efficient simulation of tail probabilities of sums of dependent random variables
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Importance sampling for sums of random variables with regularly varying tails
- Efficient simulation of light-tailed sums: An old-folk song sung to a faster new tune\dots
- Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Importance Sampling for Failure Probabilities in Computing and Data Transmission
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Importance sampling for a simple Markovian intensity model using subsolutions
- Efficient simulation of tail probabilities for sums of log-elliptical risks
- Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
- A fast and accurate numerical method for the left tail of sums of independent random variables
- Efficient exponential tilting with applications
- Infinite markings method in queueing systems with the infinite variance of service time
- New efficient estimators in rare event simulation with heavy tails
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