A review of conditional rare event simulation for tail probabilities of heavy tailed random variables

zbMATH Open1311.60050MaRDI QIDQ740945

L. Rojas-Nandayapa

Publication date: 9 September 2014

Published in: Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

zbMATH Keywords

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)

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