Rare event analysis and efficient simulation for a multi-dimensional ruin problem

DOI10.1017/S0269964816000553MaRDI QIDQ5358115zbMATH OpenFDO

Authors E. J. Cahen, M. R. H. Mandjes, Bert Zwart

Publication date 19 September 2017

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

importance samplinglarge deviationsruin probabilityrare-event simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• scientific article; zbMATH DE number 3437326 (Why is no real title available?)
• Big queues.
• Finding the conjugate of Markov fluid processes
• Hitting probabilities and large deviations
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Logarithmic asymptotics for multidimensional extremes under nonlinear scalings
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Parallel and tandem fluid networks with dependent Lévy inputs
• Rare Event Simulation using Monte Carlo Methods

Cited in

(1)

• Linear stochastic fluid networks: rare-event simulation and Markov modulation

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