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

DOI10.1017/S0269964816000553zbMATH Open1370.60047MaRDI QIDQ5358115FDOQ5358115

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)

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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)

Cites Work

• Parallel and tandem fluid networks with dependent Lévy inputs
• Title not available (Why is that?)
• Rare Event Simulation using Monte Carlo Methods
• Big queues.
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Hitting probabilities and large deviations
• Finding the conjugate of Markov fluid processes
• Logarithmic asymptotics for multidimensional extremes under nonlinear scalings

Cited In (1)

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

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