RARE EVENT ANALYSIS AND EFFICIENT SIMULATION FOR A MULTI-DIMENSIONAL RUIN PROBLEM

DOI10.1017/S0269964816000553zbMath1370.60047MaRDI QIDQ5358115

E. J. Cahen, Bert Zwart, M. R. H. Mandjes

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

importance samplinglarge deviationsruin probabilityrare-event simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items (1)

Linear stochastic fluid networks: rare-event simulation and Markov modulation

Cites Work

• Unnamed Item
• Hitting probabilities and large deviations
• Parallel and tandem fluid networks with dependent Lévy inputs
• Big queues.
• Finding the Conjugate of Markov Fluid Processes
• Rare Event Simulation using Monte Carlo Methods
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Logarithmic Asymptotics for Multidimensional Extremes Under Nonlinear Scalings

This page was built for publication: RARE EVENT ANALYSIS AND EFFICIENT SIMULATION FOR A MULTI-DIMENSIONAL RUIN PROBLEM