A review of conditional rare event simulation for tail probabilities of heavy tailed random variables

MaRDI QIDQ740945zbMATH OpenFDO

Authors L. Rojas-Nandayapa

Publication date 9 September 2014

Published in Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

zbMATH Keywords

heavy tailsrare-event simulationasymptotic approximationsconditional Monte Carlonon-independent random variables

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)

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(4)

• Estimation of tail probabilities by repeated augmented reality
• Error rates and improved algorithms for rare event simulation with heavy Weibull tails
• Efficient rare event simulation for heavy-tailed compound sums
• Rare events in random geometric graphs

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