Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
Author:
Funder
NSF
IES
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference36 articles.
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2. Applied Probability and Queues;Asmussen,2003
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4. Stochastic Simulation: Algorithms and Analysis;Asmussen,2008
5. Large deviations results for subexponential tails, with applications to insurance risk;Asmussen;Stoch. Proc. Appl.,1996
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4. On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields;The Annals of Applied Probability;2014-08-01
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