Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails

Søren Asmussen; Dominik Kortschak

doi:10.1007/s11009-013-9371-6

Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails

Authors:

Asmussen, Søren ;
Close
Department of Mathematics, Science and Technology, Aarhus University
Kortschak, Dominik
Close
unknown

DOI:

10.1007/s11009-013-9371-6

Type:

Journal article

Language:

English

Published in:

Methodology and Computing in Applied Probability, 2015, Vol 17, Issue 2, p. 1-21

Keywords:

Complexity; Conditional Monte Carlo; Control variates; Lognormal distribution; M/G/1 queue; Pollaczeck-Khinchine formula; Rare event; Regular variation; Ruin theory; Second order subexponentiality; Subexponential distribution; Vanishing relative error; Weibull distribution

Main Research Area:

Science/technology

Publication Status:

Published

Review type:

Peer Review

Submission year:

2015

Scientific Level:

Scientific

ID:

254940818

Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails

Full text access

On-site access

At institution

Metrics

Example	Finds records
water{}	containing the word "water".
water supplies"{}"	containing the phrase "water supplies".
author:"Doe, John"author:"{}"	containing the prase "Doe, John" in the author field.
title:IEEEtitle:{}	containing the word "IEEE" in the title field.
Need more help?	Advanced search tutorial