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

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Authors:
  • Asmussen, Søren ;
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    Department of Mathematics, Science and Technology, Aarhus University
  • Kortschak, Dominik
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    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

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