Rojas Nandayapa, L ORCID: 0000-0001-5652-3183
(2013)
A review of conditional rare event simulation for tail probabilities of heavy tailed random variables.
Boletín de la Sociedad Matemática Mexicana, 19 (2).
pp. 159-182.
Text
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Abstract
Approximating the tail probability of a sum of heavy-tailed random variables is a difficult problem. In this review we exhibit the challenges of approximating such probabilities and concentrate on a rare event simulation methodology capable of delivering the most reliable results: Conditional Monte Carlo. To provide a better flavor of this topic we further specialize on two algorithms which were specifically designed for tackling this problem: the Asmussen-Binswanger estimator and the Asmussen-Kroese estimator. We extend the applicability of these estimators to the non-independent case and prove their efficiency.
Item Type: | Article |
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Depositing User: | Symplectic Admin |
Date Deposited: | 31 May 2017 09:29 |
Last Modified: | 19 Jan 2023 07:03 |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3007728 |