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Importance sampling for sums of random variables with regularly varying tails

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References

1997Modelling Extremal Events4,397 cited
1994Modelling of extremal events in insurance and finance3,519 cited
2000Ruin Probabilities447 cited
2004Importance Sampling, Large Deviations, and Differential Games147 cited
2006Improved algorithms for rare event simulation with heavy tails140 cited
2002Simulating heavy tailed processes using delayed hazard rate twisting98 cited

Cited by

2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited
2009Efficient simulation of tail probabilities of sums of correlated lognormals52 cited
2007Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue37 cited
2007Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error36 cited

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