Rare events simulation for heavy-tailed distributions

DOI10.2307/3318578zbMath0958.65010OpenAlexW2019055161MaRDI QIDQ1567211

Bjarne Højgaard, Klemens Binswanger, Soren Asmussen

Publication date: 28 March 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1081788030

zbMATH Keywords

algorithmsorder statisticsimportance samplingMonte Carlo methodheavy-tailed distributionslarge deviationsrandom walksubexponential distributionlogarithmic efficiencysimulation of rare events

Mathematics Subject Classification ID

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