Efficient rare event simulation for heavy-tailed compound sums (Q4635168)
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scientific article; zbMATH DE number 6859957
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| English | Efficient rare event simulation for heavy-tailed compound sums |
scientific article; zbMATH DE number 6859957 |
Statements
Efficient rare event simulation for heavy-tailed compound sums (English)
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16 April 2018
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Lyapunov inequalities
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rare events
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compound sums
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importance sampling
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strong efficiency
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subexponential tails
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0.9126014
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0.9091668
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0.90415454
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0.90007347
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0.89972544
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0.8902856
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0.8828971
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