Dirk P . Kroese : Improved Algorithms for Rare Event Simulation with Heavy Tails

@inproceedings{Asmussen2004DirkP,
  title={Dirk P . Kroese : Improved Algorithms for Rare Event Simulation with Heavy Tails},
  author={S\oren Asmussen and Dirk P. Kroese},
  year={2004}
}
The estimation of P(Sn > u) by simulation, where Sn is the sum of independent, identically distributed random varibles Yi, . . ., Yn, is of importance in many applications. We propose two simulation estimators based upon the identity P(Sn > u) = nP(Sn > u, Mn = Yn), where Mn = max(Yl, . . ., Yn) One estimator uses importance sampling (for Yn only), and the other uses conditional Monte Carlo conditioning upon Yl, . . . , Yn1. Properties of the relative error of the estimators are derived and a… CONTINUE READING
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Monte Carlo Methods in Financial Engineering

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Applied Probability and Queues, 2nd edn

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