Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error

Abstract

Efficient estimation of tail probabilities involving heavy tailed random variables is amongst the most challenging problems in Monte-Carlo simulation. In the last few years, applied probabilists have achieved considerable success in developing efficient algorithms for some such simple but fundamental tail probabilities. Usually, unbiased importance sampling… (More)
DOI: 10.1007/s11134-007-9051-8

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