Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-013-9371-6.pdf
Reference23 articles.
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2. Asmussen S (2003) Applied Probability and Queues. Springer–Verlag
3. Asmussen S, Albrecher H (2010) Ruin probabilities, 2nd ed. World Scientific Publishing Co. Pte. Ltd., Hackensack, NJ
4. Asmussen S, Binswanger K (1997) Simulation of ruin probabilities for subexponential claims. ASTIN Bulletin 27:297–318
5. Asmussen S, Binswanger K, Højgaard B (2000) Rare events simulation for heavy–tailed distributions. Bernoulli 6:303–322
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